# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-23-044124
**Filing Date:** 2023-2
**Character Count:** 168668
**Document Hash:** cd1ece825aafb64ba1dd717f65d3b8c1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044124.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044124

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340
- **IRS NUMBER:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 23679066

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MAINSTAY VP FUNDS TRUST

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 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:** $788434281.65

**Total Liabilities:** $294531726.74

**Net Assets:** $493902554.91

**Delayed Delivery Securities:** $15492927.48

**Cash Not Reported:** $7561147.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -770.11000000 | **1-Year:** -13614.29000000 | **5-Year:** -74434.54000000 | **10-Year:** -108982.20000000 | **30-Year:** -121380.58000000

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

- **3-Month:** -0.37000000 | **1-Year:** -5007.17000000 | **5-Year:** -13756.73000000 | **10-Year:** -21850.31000000 | **30-Year:** -16171.18000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000104633 | 1.46%                | 1.71%                | -0.57%               |
| Class ID C000104634 | 1.43%                | 1.69%                | -0.59%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1867740.89             | $6388578.37                                |
| Month 2  | $-2002373.79             | $15031593.91                               |
| Month 3  | $26354.45                | $-6070889.68                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Government - Treasury - Inflation Notes

- **Index Identifier:** LHMN0062

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $30145.83     | 0.01%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Marathon CLO V Ltd.                                                           | Marathon CLO V Ltd., Series 2013-5A, Class A1R                                                         | CUSIP: 56576QAN8<br>LEI: 635400LRBGQZIPTCBI09 | Long             | ABS-CBDO         | CORP              | KY        |     27557 | PA      | $27497.38     | 0.01%             | 2027-11-21      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Venture XXV CLO Ltd.                                                          | Venture XXV CLO Ltd., Series 2016-25A, Class ARR                                                       | CUSIP: 92329VAS1<br>LEI: 549300A6M3BR8FZNXO79 | Long             | ABS-CBDO         | CORP              | KY        |    323400 | PA      | $319761.32    | 0.06%             | 2029-04-20      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Ares European CLO VI DAC                                                      | Ares European CLO VI DAC, Series 2013-6A, Class ARR                                                    | CUSIP: N/A<br>LEI: 635400IKZCKH2JKELA27       | Long             | ABS-CBDO         | CORP              | IE        |    593016 | PA      | $616095.38    | 0.12%             | 2030-04-15      | Floating      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| New Zealand                                                                   | New Zealand Government Inflation Linked Bond                                                           | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |   1735720 | PA      | $1114179.78   | 0.23%             | 2025-09-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                             | CIFC Funding Ltd., Series 2018-3A, Class A                                                             | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491946.00    | 0.10%             | 2031-07-18      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | CAP - CAP                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -300000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                       | Popular ABS Mortgage Pass-Through Trust, Series 2006-A, Class M2                                       | CUSIP: 73316PJX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1238000 | PA      | $1107015.14   | 0.22%             | 2036-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Euro-Schatz                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -632 | NC      | $903692.91    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11590000 | PA      | $13752385.54  | 2.78%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab                                                                   | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |  10599525 | PA      | $1106596.61   | 0.22%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XV Ltd.                                                       | Sound Point CLO XV Ltd., Series 2017-1A, Class ARR                                                     | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |    821393 | PA      | $810875.51    | 0.16%             | 2029-01-23      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14900000 | PA      | $13997754.19  | 2.83%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9900000 | PA      | $9726091.10   | 1.97%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Japan                                                                         | Japan Government CPI Linked Bond                                                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  80000000 | PA      | $646883.27    | 0.13%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15612000 | PA      | $17736355.19  | 3.59%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1598.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $709611.88    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage-Backed Pass-Through Certificates WMALT Trust       | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-HY1, Class A2A           | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380185 | PA      | $310521.23    | 0.06%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding IX DAC                                              | Madison Park Euro Funding IX DAC, Series 9A, Class AR                                                  | CUSIP: N/A<br>LEI: 635400IRITPTWQSADZ09       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $509380.06    | 0.10%             | 2035-07-15      | Floating      | 0.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $6935.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | U.S. Treasury 10 Year Notes                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -296 | NC      | $89782.13     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1044748.38  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Rad CLO 5 Ltd.                                                                | Rad CLO 5 Ltd., Series 2019-5A, Class AR                                                               | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1665537.60   | 0.34%             | 2032-07-24      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4250000 | PA      | $4540305.58   | 0.92%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-415379.34   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2732000 | PA      | $3456972.35   | 0.70%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16010000 | PA      | $18105317.90  | 3.67%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                                      | VOYA CLO, Series 2017-2A, Class A1R                                                                    | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    288273 | PA      | $284484.37    | 0.06%             | 2030-06-07      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Venture 36 CLO Ltd.                                                           | Venture 36 CLO Ltd., Series 2019-36A, Class A1AR                                                       | CUSIP: 92332LAU3<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $581364.60    | 0.12%             | 2032-04-20      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab                                                                   | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |     35157 | PA      | $3894.32      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 Month Euro Euribor                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       205 | NC      | $-1774351.22  | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7200000 | PA      | $8053715.30   | 1.63%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                               | Eurosail-UK plc, Series 2007-3A, Class A3C                                                             | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     24967 | PA      | $29837.59     | 0.01%             | 2045-06-13      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                        | Realkredit Danmark A/S, Series CCS                                                                     | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  15856157 | PA      | $1676505.36   | 0.34%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-171690.55   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-21084.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO II DAC                                                       | Man GLG Euro CLO II DAC, Series 2A, Class A1R                                                          | CUSIP: N/A<br>LEI: 635400X2U1WG8KFSIE39       | Long             | ABS-CBDO         | CORP              | IE        |    142909 | PA      | $149971.07    | 0.03%             | 2030-01-15      | Floating      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                        | Realkredit Danmark A/S, Series 23S                                                                     | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |    821573 | PA      | $90946.88     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21220000 | PA      | $24382561.76  | 4.94%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01E                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    299540 | PA      | $32716.62     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $8051.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 30 Ltd.                                                                   | LCM 30 Ltd., Series 30A, Class AR                                                                      | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1318590.90   | 0.27%             | 2031-04-20      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                    | UMBS, 30 Year                                                                                          | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191760 | PA      | $156138.75    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARES European CLO X DAC                                                       | ARES European CLO X DAC, Series 10A, Class AR                                                          | CUSIP: N/A<br>LEI: 635400SFL7VSI4HNPI68       | Long             | ABS-CBDO         | CORP              | IE        |   1100000 | PA      | $1139486.64   | 0.23%             | 2031-10-15      | Floating      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab                                                                   | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    193793 | PA      | $20309.08     | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $26777.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1119.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-16982.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5990000 | PA      | $6392760.89   | 1.29%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $54528.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                        | GSAA Home Equity Trust, Series 2006-17, Class A3A                                                      | CUSIP: 362257AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000402 | PA      | $365668.96    | 0.07%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 106980000 | PA      | $43227.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                               | France Government Bond                                                                                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |   3100000 | PA      | $3778022.78   | 0.76%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                               | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A1                                              | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    421565 | PA      | $416149.34    | 0.08%             | 2029-10-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                     | Soundview Home Loan Trust, Series 2007-OPT1, Class 1A1                                                 | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265678 | PA      | $190114.15    | 0.04%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                                 | UniCredit SpA                                                                                          | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1800000 | PA      | $1808438.40   | 0.37%             | 2023-12-04      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $2323.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                        | Realkredit Danmark A/S                                                                                 | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |   1453029 | PA      | $152167.70    | 0.03%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4100000 | PA      | $4032771.24   | 0.82%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                          | Jyske Realkredit A/S, Series cce                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   1658705 | PA      | $183854.82    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5530000 | PA      | $7966723.16   | 1.61%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $11124.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                       | Home Equity Asset Trust, Series 2005-8, Class M2                                                       | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220776 | PA      | $211568.34    | 0.04%             | 2036-02-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| BlueMountain Fuji Eur CLO V DAC                                               | BlueMountain Fuji EUR CLO V DAC, Series 5A, Class A                                                    | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |   1100000 | PA      | $1131068.73   | 0.23%             | 2033-01-15      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15140000 | PA      | $17978970.16  | 3.64%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Japan                                                                         | Japan Government CPI Linked Bond                                                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 233000000 | PA      | $1892971.88   | 0.38%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $42971.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                           | New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1                                        | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202867 | PA      | $188488.81    | 0.04%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    770000 | PA      | $-58082.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin CLO VIII Ltd.                                                        | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R                                                      | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $391890.00    | 0.08%             | 2031-07-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | Euro-Bund                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -6 | NC      | $-36673.62    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $29744.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14000000 | PA      | $3654.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01E                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  12192722 | PA      | $1324704.51   | 0.27%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | FCPIX                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2800000 | PA      | $283754.80    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Jubilee CLO DAC                                                               | Jubilee CLO DAC, Series 2015-16A, Class A1R                                                            | CUSIP: N/A<br>LEI: 6354001HC2XLE7I6XI84       | Long             | ABS-CBDO         | CORP              | IE        |   1033926 | PA      | $1093913.08   | 0.22%             | 2029-12-15      | Floating      | 2.85%                 | Yes           |                  2 | On Loan: No      |
| New Zealand                                                                   | New Zealand Government Inflation Linked Bond                                                           | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    614500 | PA      | $415695.92    | 0.08%             | 2030-09-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                        | SLM Student Loan Trust, Series 2004-3A, Class A6B                                                      | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |    338026 | PA      | $324347.07    | 0.07%             | 2064-10-25      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Euro CLO DAC                                                     | Bain Capital Euro CLO DAC, Series 2020-1A, Class A                                                     | CUSIP: N/A<br>LEI: 5493001FSPB8QPJ8P276       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $521368.02    | 0.11%             | 2033-01-24      | Floating      | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Republic of Italy                                                             | Italy Buoni Poliennali del Tesoro                                                                      | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |   2300000 | PA      | $2513952.17   | 0.51%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK plc                                                               | Eurosail-UK plc, Series 2007-3X, Class A3A                                                             | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     93640 | PA      | $111916.50    | 0.02%             | 2045-06-13      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                    | UMBS, 30 Year                                                                                          | CUSIP: 3133B2P52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395137 | PA      | $347108.72    | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                         | Bank of America Corp., Series FF                                                                       | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $167325.40    | 0.03%             | 2028-03-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Securities 32 plc                                        | Residential Mortgage Securities 32 plc, Series 32A, Class A                                            | CUSIP: N/A<br>LEI: 54930041T52UP3IPLN03       | Long             | ABS-MBS          | CORP              | GB        |    131534 | PA      | $157985.20    | 0.03%             | 2070-06-20      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   5000000 | PA      | $-9637.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                              | Peru Government Bond                                                                                   | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |   2100000 | PA      | $485338.01    | 0.10%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2508000 | PA      | $2548541.01   | 0.52%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCM XXV Ltd.                                                                  | LCM XXV Ltd., Series 25A, Class AR                                                                     | CUSIP: 50189PAY8<br>LEI: 549300FY8UGGJMQNCO13 | Long             | ABS-CBDO         | CORP              | KY        |   1483935 | PA      | $1454149.31   | 0.29%             | 2030-07-20      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $105131.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                        | Alternative Loan Trust, Series 2007-1T1, Class 1A1                                                     | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525904 | PA      | $207208.94    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Australia 10 Year Bonds                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -7 | NC      | $30837.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RASC Trust                                                                    | RASC Trust, Series 2005-EMX1, Class M2                                                                 | CUSIP: 76110WQ66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631322 | PA      | $609529.51    | 0.12%             | 2035-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $-601838.02   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM XIII LP                                                                   | LCM XIII LP, Series 13A, Class AR3                                                                     | CUSIP: 50184KBL1<br>LEI: 549300WD241FFLNM0E69 | Long             | ABS-CBDO         | CORP              | KY        |   1195637 | PA      | $1182336.87   | 0.24%             | 2027-07-19      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                           | Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB6, Class A3                         | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820633 | PA      | $542322.72    | 0.11%             | 2037-07-25      | Floating      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Vibrant CLO XI Ltd.                                                           | Vibrant CLO XI Ltd., Series 2019-11A, Class A1R1                                                       | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $389334.80    | 0.08%             | 2032-07-20      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11843000 | PA      | $11974810.46  | 2.42%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    442000 | PA      | $8421.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                            | Banco Bilbao Vizcaya Argentaria SA                                                                     | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | DBT              | CORP              | ES        |    400000 | PA      | $410837.85    | 0.08%             | 2023-09-24      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    327000 | PA      | $628382.75    | 0.13%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund Ltd.                                                   | Atlas Senior Loan Fund Ltd., Series 2017-8A, Class A                                                   | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1142800 | PA      | $1125763.15   | 0.23%             | 2030-01-16      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5400000 | PA      | $401442.56    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-401560.97   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                         | Japan Government CPI Linked Bond                                                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 198000000 | PA      | $1608619.88   | 0.33%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                               | DR Horton, Inc.                                                                                        | CUSIP: 23331ABH1<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100320.36    | 0.02%             | 2023-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                        | Residential Asset Securitization Trust, Series 2006-A10, Class A5                                      | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218201 | PA      | $83155.79     | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACAS CLO Ltd.                                                                 | ACAS CLO Ltd., Series 2015-1A, Class AR3                                                               | CUSIP: 55320RAQ0<br>LEI: 5493005EOEZ6JX072G15 | Long             | ABS-CBDO         | CORP              | KY        |    461937 | PA      | $453107.43    | 0.09%             | 2028-10-18      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $13421.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Black Diamond CLO DAC                                                         | Black Diamond CLO DAC, Series 2017-2A, Class A1                                                        | CUSIP: N/A<br>LEI: 549300PKZ3LBLGCJNI86       | Long             | ABS-CBDO         | CORP              | IE        |    964326 | PA      | $1015273.32   | 0.21%             | 2032-01-20      | Floating      | 2.32%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5230000 | PA      | $7568629.21   | 1.53%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                              | IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A                                         | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94191 | PA      | $86462.60     | 0.02%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $6552.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates Trust | Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates Trust, Series 2005-2, Class M7 | CUSIP: 68383NBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93997.29     | 0.02%             | 2035-04-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro CLO Ltd.                                | Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-2A, Class AR1                              | CUSIP: N/A<br>LEI: 6354006SCMVW8LXU4P40       | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1032332.35   | 0.21%             | 2031-11-15      | Floating      | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2                                               | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226015 | PA      | $94601.37     | 0.02%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3000000 | PA      | $31067.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                          | LoanCore Issuer Ltd., Series 2022-CRE7, Class A                                                        | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $578221.80    | 0.12%             | 2037-01-17      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9526000 | PA      | $11908220.01  | 2.41%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab                                                                   | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |      1916 | PA      | $244.25       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Magnetite XVIII Ltd.                                                          | Magnetite XVIII Ltd., Series 2016-18A, Class AR2                                                       | CUSIP: 55953TAS6<br>LEI: 549300BDVLRWS2SODX97 | Long             | ABS-CBDO         | CORP              | KY        |    385903 | PA      | $381100.89    | 0.08%             | 2028-11-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01E                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |   2033038 | PA      | $212689.30    | 0.04%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4638000 | PA      | $6955131.91   | 1.41%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO DAC                                                              | OCP Euro CLO DAC, Series 2017-2A, Class A                                                              | CUSIP: N/A<br>LEI: 635400KNK84TMOLEE581       | Long             | ABS-CBDO         | CORP              | IE        |    987999 | PA      | $1034283.35   | 0.21%             | 2032-01-15      | Floating      | 2.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $-51020.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                          | FNMA                                                                                                   | CUSIP: 31402LPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121125 | PA      | $115231.26    | 0.02%             | 2043-06-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 11 Ltd.                                                 | Anchorage Capital CLO 11 Ltd., Series 2019-11A, Class AR                                               | CUSIP: 03330NAJ3<br>LEI: 549300NPGT86ACOLIL14 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $293346.90    | 0.06%             | 2032-07-22      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2700000 | PA      | $196957.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $21275.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-7847.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3460000 | PA      | $5046697.58   | 1.02%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                          | FNMA                                                                                                   | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146323 | PA      | $149623.69    | 0.03%             | 2034-11-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   5000000 | PA      | $-194611.02   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture XXI CLO Ltd.                                                          | Venture XXI CLO Ltd., Series 2015-21A, Class AR                                                        | CUSIP: 92330MAL3<br>LEI: 5493001C8B2BF8JNTO68 | Long             | ABS-CBDO         | CORP              | KY        |     84708 | PA      | $84644.78     | 0.02%             | 2027-07-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $2336.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $13531.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                     | Australia Government Bond                                                                              | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |   1998100 | PA      | $1457100.08   | 0.30%             | 2025-09-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO XVI Ltd.                                          | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class A1R                                       | CUSIP: 08181VAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $293699.10    | 0.06%             | 2032-01-17      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                          | Jyske Realkredit A/S, Series CCE                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   1987944 | PA      | $207542.48    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2795.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RALI Trust                                                                    | RALI Trust, Series 2006-QH1, Class A1                                                                  | CUSIP: 75115GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    776494 | PA      | $655946.89    | 0.13%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $18270.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-138367.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    600000 | PA      | $-103011.51   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES XL CLO Ltd.                                                              | ARES XL CLO Ltd., Series 2016-40A, Class A1RR                                                          | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050261 | PA      | $1037083.37   | 0.21%             | 2029-01-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO XII Ltd.                                          | Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class A1R                                       | CUSIP: 08179HAE0<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493872.00    | 0.10%             | 2030-10-15      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3600000 | PA      | $-45816.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    510000 | PA      | $-38508.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab                                                                   | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    399804 | PA      | $45825.93     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   5000000 | PA      | $-23232.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                               | France Government Bond                                                                                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |   1300000 | PA      | $1717576.55   | 0.35%             | 2024-07-25      | Fixed         | 0.25%                 | Yes           |                  2 | On Loan: No      |
| Anchorage Capital CLO 6 Ltd.                                                  | Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR                                                | CUSIP: 03328QAY7<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    499970 | PA      | $493595.12    | 0.10%             | 2030-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $84664.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $3078620.37   | 0.62%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Dryden 52 Euro CLO DAC                                                        | Dryden 52 Euro CLO DAC, Series 2017-52A, Class AR                                                      | CUSIP: N/A<br>LEI: 635400V5VX7XDQVRNU55       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $518782.89    | 0.11%             | 2034-05-15      | Floating      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  50000000 | PA      | $15104.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                           | Carlyle US CLO Ltd., Series 2017-1A, Class A1R                                                         | CUSIP: 14314BAL1<br>LEI: 549300VZ0HS3D307K776 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $686690.20    | 0.14%             | 2031-04-20      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2351111.86   | 0.48%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5700000 | PA      | $5727590.23   | 1.16%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11034.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saranac CLO VI Ltd.                                                           | Saranac CLO VI Ltd., Series 2018-6A, Class A1R                                                         | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |    300000 | PA      | $293455.50    | 0.06%             | 2031-08-13      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| OSD CLO Ltd.                                                                  | OSD CLO Ltd., Series 2021-23A, Class A                                                                 | CUSIP: 671026AA0<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |   1295133 | PA      | $1269137.32   | 0.26%             | 2031-04-17      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1800000 | PA      | $160559.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4910000 | PA      | $3615223.24   | 0.73%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                        | Alternative Loan Trust, Series 2005-29CB, Class A4                                                     | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28050 | PA      | $16946.09     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| French Republic                                                               | France Government Bond                                                                                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    700000 | PA      | $828331.37    | 0.17%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Venture XXIV CLO Ltd.                                                         | Venture XXIV CLO Ltd., Series 2016-24A, Class ARR                                                      | CUSIP: 92330WBJ5<br>LEI: 549300EDZDHKTKE7JV77 | Long             | ABS-CBDO         | CORP              | KY        |    335515 | PA      | $330840.78    | 0.07%             | 2028-10-20      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XIV Ltd.                                                         | Symphony CLO XIV Ltd., Series 2014-14A, Class AR                                                       | CUSIP: 87159QBV9<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |     11340 | PA      | $11334.91     | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                         | FHLMC, Series 4694, Class FA                                                                           | CUSIP: 3137BYWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    883843 | PA      | $848443.74    | 0.17%             | 2047-06-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3350.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Euro-BTP                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -56 | NC      | $97374.96     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1600000 | PA      | $159241.54    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1200000 | PA      | $-12917.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series CCE                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  33061167 | PA      | $3500386.95   | 0.71%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| French Republic                                                               | France Government Bond                                                                                 | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |   1400000 | PA      | $1531354.60   | 0.31%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                     | OBX Trust, Series 2018-1, Class A2                                                                     | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26216 | PA      | $24655.79     | 0.00%             | 2057-06-25      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| LCM XV LP                                                                     | LCM XV LP, Series 15A, Class AR2                                                                       | CUSIP: 50184NAR3<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |    385265 | PA      | $379426.27    | 0.08%             | 2030-07-20      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -8200000 | PA      | $-24225.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                            | First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A2                                         | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    407225 | PA      | $337586.69    | 0.07%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11624000 | PA      | $16523925.87  | 3.35%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2980000 | PA      | $2326711.35   | 0.47%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $31467.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                               | CHL Mortgage Pass-Through Trust, Series 2007-1, Class A1                                               | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25558 | PA      | $12813.89     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                        | Realkredit Danmark A/S, Series 27S                                                                     | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |   1493926 | PA      | $155966.74    | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01E                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    497710 | PA      | $48790.92     | 0.01%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                          | United Kingdom Gilt Inflation Linked                                                                   | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |   1000000 | PA      | $1440576.41   | 0.29%             | 2041-08-10      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $17393.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MainStay U.S. Government Liquidity Fund                                       | MainStay U.S. Government Liquidity Fund, Class I                                                       | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |   4536177 | NS      | $4536176.80   | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  14800000 | PA      | $17700.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RELX Capital, Inc.                                                            | RELX Capital, Inc.                                                                                     | CUSIP: 74949LAB8<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99595.77     | 0.02%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1860000 | PA      | $-421280.05   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | U.S. Treasury Ultra Bonds                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -21 | NC      | $187615.36    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | Euro-OAT                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -28 | NC      | $263391.37    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Japan                                                                         | Japan Government CPI Linked Bond                                                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 169000000 | PA      | $1364454.72   | 0.28%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $-203692.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                         | FHLMC, STRIPS, Series 278, Class F1                                                                    | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156670 | PA      | $153849.73    | 0.03%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                          | Jyske Realkredit A/S, Series CCE                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |  15823835 | PA      | $1675365.73   | 0.34%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Toro European CLO DAC                                                         | Toro European CLO DAC, Series 5A, Class A                                                              | CUSIP: N/A<br>LEI: 635400CNR8OQZHQBZR28       | Long             | ABS-CBDO         | CORP              | IE        |    499729 | PA      | $521063.61    | 0.11%             | 2030-10-15      | Floating      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO DAC                                                         | Black Diamond CLO DAC, Series 2015-1A, Class A1R                                                       | CUSIP: N/A<br>LEI: 635400M6BTF6EBHINU93       | Long             | ABS-CBDO         | CORP              | IE        |      7433 | PA      | $7937.85      | 0.00%             | 2029-10-03      | Floating      | 1.81%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3380000 | PA      | $3932095.93   | 0.80%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $148093.81    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1780000 | PA      | $1860072.69   | 0.38%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8700000 | PA      | $9496061.40   | 1.92%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                        | Realkredit Danmark A/S, Series 23S                                                                     | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |      8770 | PA      | $1121.67      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  25000000 | PA      | $49613.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Static Senior Loan Fund I Ltd.                                          | Atlas Static Senior Loan Fund I Ltd., Series 2022-1A, Class A                                          | CUSIP: 04942PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $492998.00    | 0.10%             | 2030-07-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3097.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7943.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                 | Citigroup Mortgage Loan Trust, Series 2007-AR4, Class 1A1A                                             | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168353 | PA      | $146196.93    | 0.03%             | 2037-03-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                               | Eurosail-UK plc, Series 2007-3X, Class A3C                                                             | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     24967 | PA      | $29837.59     | 0.01%             | 2045-06-13      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Funding Granite 4 plc                                     | Towd Point Mortgage Funding Granite 4 plc, Series 2019-GR4A, Class A1                                  | CUSIP: N/A<br>LEI: 635400655NWVVZHH1395       | Long             | ABS-MBS          | CORP              | GB        |    587347 | PA      | $707860.31    | 0.14%             | 2051-10-20      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17260000 | PA      | $17957483.97  | 3.64%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Euro-BTP                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -102 | NC      | $871072.80    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                  | Avolon Holdings Funding Ltd.                                                                           | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     66000 | PA      | $52753.44     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $8254.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM VIII Ltd.                                                                | OZLM VIII Ltd., Series 2014-8A, Class A1R3                                                             | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    358625 | PA      | $353096.99    | 0.07%             | 2029-10-17      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                | Option One Mortgage Loan Trust, Series 2006-1, Class M1                                                | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1056912.72   | 0.21%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                           | Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 1CB1                                      | CUSIP: 17307GGX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    137383 | PA      | $125942.38    | 0.03%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                         | FHLMC, REMIC, Series 4779, Class WF                                                                    | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156488 | PA      | $154187.81    | 0.03%             | 2044-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Euro-Bund                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -6 | NC      | $-64.23       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                                | Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE2, Class A2C                             | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337743 | PA      | $138811.79    | 0.03%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    780000 | PA      | $61542.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Tsusho Corp.                                                           | Toyota Tsusho Corp.                                                                                    | CUSIP: N/A<br>LEI: 549300CEE2ENIUJNXB84       | Long             | DBT              | CORP              | JP        |    200000 | PA      | $197628.00    | 0.04%             | 2023-09-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                                      | Lloyds Banking Group plc                                                                               | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |    200000 | PA      | $204491.06    | 0.04%             | 2025-06-27      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                     | Soundview Home Loan Trust, Series 2007-OPT2, Class 2A3                                                 | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161964 | PA      | $145378.83    | 0.03%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   5000000 | PA      | $-16814.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                        | Merrill Lynch Mortgage Investors Trust, Series 2005-A4, Class 1A                                       | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143392 | PA      | $76858.13     | 0.02%             | 2035-07-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV Ltd.                                                  | Crestline Denali CLO XV Ltd., Series 2017-1A, Class AR                                                 | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |    270951 | PA      | $267083.24    | 0.05%             | 2030-04-20      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01eE                                                                   | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  10612802 | PA      | $1174438.79   | 0.24%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage-Backed Pass-Through Certificates WMALT Trust       | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-5, Class 2CB1            | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33259 | PA      | $22623.26     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $-174936.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                          | Jyske Realkredit A/S, Series 111E                                                                      | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |      4344 | PA      | $553.78       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  11500000 | PA      | $0.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Long Gilt                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $-7956.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23400000 | PA      | $22034007.67  | 4.46%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01E                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |     99824 | PA      | $9890.02      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                 | UMBS, Single Family, 30 Year                                                                           | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5264215.56   | 1.07%             | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $24594.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | U.S. Treasury 2 Year Notes                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        59 | NC      | $-535.84      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Canadian Government Real Return Bond                                          | Canadian Government Real Return Bond                                                                   | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    600000 | PA      | $855878.95    | 0.17%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $7296.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab                                                                   | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    500000 | PA      | $49573.18     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | U.S. Treasury Long Bonds                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -101 | NC      | $145820.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1028000 | PA      | $23035.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                          | Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1                       | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459202 | PA      | $434044.96    | 0.09%             | 2032-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Euro-Buxl                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -54 | NC      | $1319764.79   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                                | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                               | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1355241.72   | 0.27%             | 2037-01-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | Euro-Bund                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        82 | NC      | $-747056.85   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                          | FNMA                                                                                                   | CUSIP: 31385HJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67146 | PA      | $67006.55     | 0.01%             | 2036-12-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    510000 | PA      | $40639.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-8155.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $97202.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3854.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $87670.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd.                                                       | Sound Point CLO IX Ltd., Series 2015-2A, Class ARRR                                                    | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $486134.00    | 0.10%             | 2032-07-20      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01E                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |      1660 | PA      | $212.29       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| THL Credit Wind River CLO Ltd.                                                | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR                                               | CUSIP: 97314JAA3<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $291966.90    | 0.06%             | 2031-04-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7740000 | PA      | $7914888.30   | 1.60%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                          | UMBS, 30 Year                                                                                          | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595300 | PA      | $573055.31    | 0.12%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01EE                                                                   | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    321669 | PA      | $33709.81     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                              | Peru Government Bond                                                                                   | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |   1300000 | PA      | $313589.95    | 0.06%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                             | Italy Buoni Poliennali del Tesoro                                                                      | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |  11500000 | PA      | $12539667.67  | 2.54%             | 2025-05-26      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| OZLM XXIV Ltd.                                                                | OZLM XXIV Ltd., Series 2019-24A, Class A1AR                                                            | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $194974.60    | 0.04%             | 2032-07-20      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | Japan 10 Year Bonds                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -22 | NC      | $439533.42    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman XS Trust                                                               | Lehman XS Trust, Series 2007-20N, Class A1                                                             | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27144 | PA      | $26617.99     | 0.01%             | 2037-12-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9090000 | PA      | $14382734.43  | 2.91%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $-44557.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                                | Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C                             | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544519 | PA      | $189996.73    | 0.04%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Toro European CLO DAC                                                         | Toro European CLO DAC, Series 5A, Class ANV                                                            | CUSIP: N/A<br>LEI: 635400CNR8OQZHQBZR28       | Long             | ABS-CBDO         | CORP              | IE        |    699621 | PA      | $729489.06    | 0.15%             | 2030-10-15      | Floating      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-94302.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4200000 | PA      | $-1219604.44  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Cigna Corp.                                                                   | Cigna Corp.                                                                                            | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     73000 | PA      | $72518.25     | 0.01%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-8271.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                          | United Kingdom Gilt Inflation Linked                                                                   | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |   2600000 | PA      | $4689227.80   | 0.95%             | 2024-03-22      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                          | Jyske Realkredit A/S, Series CCE                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   2387004 | PA      | $260372.05    | 0.05%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                          | United Kingdom Gilt Inflation Linked                                                                   | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    315000 | PA      | $737193.51    | 0.15%             | 2027-11-22      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | U.S. Treasury 10 Year Ultra Bonds                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -59 | NC      | $90383.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $-192729.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                             | GreenPoint Mortgage Funding Trust, Series 2006-AR4, Class A6A                                          | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62457 | PA      | $54305.04     | 0.01%             | 2046-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                             | NatWest Group plc                                                                                      | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198141.00    | 0.04%             | 2024-06-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-18391.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Australia 3 Year Bonds                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       -13 | NC      | $12374.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                          | GNMA, Series 2017-H10, Class FB                                                                        | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208134 | PA      | $205972.41    | 0.04%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                             | NatWest Group plc                                                                                      | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $300075.50    | 0.06%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3050000 | PA      | $3016088.57   | 0.61%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXVI                                                               | Apidos CLO XXVI, Series 2017-26A, Class A1AR                                                           | CUSIP: 03766GAL6<br>LEI: 549300RV409NJP65MP20 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $790675.20    | 0.16%             | 2029-07-18      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $66788.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RASC Trust                                                                    | RASC Trust, Series 2005-KS8, Class M4                                                                  | CUSIP: 76110W3U8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11565 | PA      | $11547.43     | 0.00%             | 2035-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                      | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC1, Class M3                                   | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121926 | PA      | $116812.65    | 0.02%             | 2035-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                             | CIFC Funding Ltd., Series 2017-4A, Class A1R                                                           | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $394976.40    | 0.08%             | 2030-10-24      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2926.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $19306.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | Euro-Bobl                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -43 | NC      | $167354.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab, Series CC2                                                       | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |  10992739 | PA      | $1165767.05   | 0.24%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                           | New Residential Mortgage Loan Trust, Series 2018-3A, Class A1                                          | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |    117034 | PA      | $109825.81    | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8610000 | PA      | $10086538.59  | 2.04%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | U.S. Treasury 5 Year Notes                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       551 | NC      | $-221871.42   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Nykredit Realkredit A/S                                                       | Nykredit Realkredit A/S, Series 01E                                                                    | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    496929 | PA      | $56672.44     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3000000 | PA      | $-8488.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DTRS                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $67658.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Vibrant CLO VI Ltd.                                                           | Vibrant CLO VI Ltd., Series 2017-6A, Class AR                                                          | CUSIP: 92558EAJ1<br>LEI: 549300WOQQ4NNX4VIU97 | Long             | ABS-CBDO         | CORP              | KY        |    600383 | PA      | $592257.52    | 0.12%             | 2029-06-20      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1390000 | PA      | $-267981.71   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| State of Qatar                                                                | Qatar Government Bond                                                                                  | CUSIP: N/A<br>LEI: 52990074F6OJOAXK4P65       | Long             | DBT              | NUSS              | QA        |    300000 | PA      | $298350.00    | 0.06%             | 2023-04-23      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2120000 | PA      | $2434034.50   | 0.49%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4230000 | PA      | $5092424.78   | 1.03%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd.                                                               | Romark CLO Ltd., Series 2017-1A, Class A1R                                                             | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $392039.20    | 0.08%             | 2030-10-23      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-17991.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1680000 | PA      | $-96098.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15020000 | PA      | $15630986.30  | 3.16%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd.                                                            | Wellfleet CLO Ltd., Series 2015-1A, Class AR4                                                          | CUSIP: 949496BJ1<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |    436877 | PA      | $431300.69    | 0.09%             | 2029-07-20      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-167276.35   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM XI Ltd.                                                                  | OZLM XI Ltd., Series 2015-11A, Class A1R                                                               | CUSIP: 67109UAS1<br>LEI: 5493009CITK5BZZY6417 | Long             | ABS-CBDO         | CORP              | KY        |    989187 | PA      | $974752.67    | 0.20%             | 2030-10-30      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                          | Jyske Realkredit A/S, Series CCE                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   3916547 | PA      | $384291.54    | 0.08%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                        | Realkredit Danmark A/S, Series 28S                                                                     | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |   1695958 | PA      | $185481.67    | 0.04%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XLI Ltd.                                                 | Madison Park Funding XLI Ltd., Series 12A, Class AR                                                    | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |    250946 | PA      | $248232.73    | 0.05%             | 2027-04-22      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1600000 | PA      | $143795.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                          | UMBS, 30 Year                                                                                          | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469539 | PA      | $440445.85    | 0.09%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                 | UMBS, Single Family, 30 Year                                                                           | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9376599.40   | 1.90%             | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-145592.98   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO XIV Ltd.                                                      | Sound Point CLO XIV Ltd., Series 2016-3A, Class AR2                                                    | CUSIP: 83609NAN0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-CBDO         | CORP              | KY        |    623695 | PA      | $618688.54    | 0.13%             | 2029-01-23      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4500000 | PA      | $-825460.10   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-137137.25   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17040000 | PA      | $18173890.26  | 3.68%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $14.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                           | Thornburg Mortgage Securities Trust, Series 2004-2, Class A1                                           | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434332 | PA      | $388248.20    | 0.08%             | 2044-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6300000 | PA      | $-42717.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                     | Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1RR                                  | CUSIP: 14310BAU5<br>LEI: 549300CVBX8ZUYQV3Q10 | Long             | ABS-CBDO         | CORP              | KY        |    593215 | PA      | $585405.39    | 0.12%             | 2030-08-14      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                          | GNMA, Series 2018-H15, Class FG                                                                        | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342773 | PA      | $333006.23    | 0.07%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Argent Securities Trust                                                       | Argent Securities Trust, Series 2006-W4, Class A2C                                                     | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287751 | PA      | $70802.38     | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | USCPI                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $33857.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HICPXT                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $43633.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                              | IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 1A1A                                         | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688987 | PA      | $495926.65    | 0.10%             | 2035-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5230000 | PA      | $5769273.59   | 1.17%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                            | New Century Home Equity Loan Trust, Series 2004-4, Class M1                                            | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51857 | PA      | $49397.31     | 0.01%             | 2035-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                          | UMBS, 30 Year                                                                                          | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294178 | PA      | $267382.29    | 0.05%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                    | RASC Trust, Series 2006-EMX4, Class A4                                                                 | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430637 | PA      | $408676.91    | 0.08%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $48557.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                        | Realkredit Danmark A/S                                                                                 | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |      5968 | PA      | $585.09       | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3100000 | PA      | $-603842.78   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3 Ltd.                                                        | HalseyPoint CLO 3 Ltd., Series 2020-3A, Class A1A                                                      | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493326.00    | 0.10%             | 2032-11-30      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | CAP - CAP                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    300000 | NC      | $-80240.35    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                               | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1                                              | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1062624 | PA      | $1047723.10   | 0.21%             | 2029-07-20      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2500000 | PA      | $-0.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1246377.07   | 0.25%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO I DAC                                                        | Invesco Euro CLO I DAC, Series 1A, Class A1R                                                           | CUSIP: N/A<br>LEI: 549300GHZE7CYFQDBC40       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $518346.68    | 0.10%             | 2031-07-15      | Floating      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Anchorage Capital CLO 9 Ltd.                                                  | Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR2                                                | CUSIP: 03328WAS7<br>LEI: 5493009A4SIPWYPZDB35 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $293452.80    | 0.06%             | 2032-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17640000 | PA      | $17933887.10  | 3.63%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    730000 | PA      | $9389.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11489983 | PA      | $12918772.47  | 2.62%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| New Zealand                                                                   | New Zealand Government Inflation Linked Bond                                                           | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    968080 | PA      | $626181.57    | 0.13%             | 2035-09-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| MidOcean Credit CLO II                                                        | MidOcean Credit CLO II, Series 2013-2A, Class ARR                                                      | CUSIP: 59863KAS6<br>LEI: 549300EKSLXKVD2RWW61 | Long             | ABS-CBDO         | CORP              | KY        |    240516 | PA      | $237276.80    | 0.05%             | 2030-01-29      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                          | Nordea Kredit Realkreditaktieselskab                                                                   | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    912743 | PA      | $100342.87    | 0.02%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                         | CWABS Asset-Backed Certificates Trust, Series 2007-8, Class 1A1                                        | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   1349156 | PA      | $1226012.57   | 0.25%             | 2037-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Japan                                                                         | Japan Government CPI Linked Bond                                                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 362000000 | PA      | $2922678.15   | 0.59%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $-22.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                  | Saxon Asset Securities Trust, Series 2007-3, Class 1A                                                  | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95393 | PA      | $89283.94     | 0.02%             | 2037-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RPI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2090000 | PA      | $-396820.61   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Mastr Asset-Backed Securities Trust                                           | Mastr Asset-Backed Securities Trust, Series 2006-WMC4, Class A5                                        | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112930 | PA      | $36210.48     | 0.01%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. II                                               | GS Mortgage Securities Corp. II, Series 2022-GTWY, Class A                                             | CUSIP: 36266DAA2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1307911.28   | 0.26%             | 2039-08-15      | Floating      | 7.74%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                      | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5600000 | PA      | $6758625.88   | 1.37%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2943.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** MAINSTAY VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer