# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000157
**Filing Date:** 2023-3
**Character Count:** 230143
**Document Hash:** d92b82419339b55ffb8d0f93cdfd21dc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000157.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000157

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 23688697

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

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

## Series and Classes Contracts Data

### PIMCO International Bond Portfolio (Unhedged) (Series ID: S000010206)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000028252 | Administrative | VPVFBDV         |
| C000030991 | Advisor        | VPFBHEV         |
| C000109754 | Institutional  | PVFUHBI         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO International Bond Portfolio (Unhedged)

- **b. EDGAR series identifier (if any):** S000010206

- **c. LEI of Series:** 5SNYVOTWV66DO2KG5H16

**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:** $36268157.32

**Total Liabilities:** $12928701.05

**Net Assets:** $23339456.27

**Cash Not Reported:** $982542.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 523.060200 | **1-Year:** 707.214700 | **5-Year:** 5151.585700 | **10-Year:** 3846.569800 | **30-Year:** 137.876600

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

- **3-Month:** 86.672900 | **1-Year:** 150.358600 | **5-Year:** 237.227600 | **10-Year:** 76.678100 | **30-Year:** 4.462600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028252 | 0.15%                | 7.07%                | 0.74%                |
| Class ID C000109754 | 0.16%                | 7.08%                | 0.76%                |
| Class ID C000030991 | 0.14%                | 7.06%                | 0.73%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-350854.66              | $250543.07                                 |
| Month 2  | $-7131.92                | $1054748.48                                |
| Month 3  | $80881.71                | $141248.16                                 |

**Designated Index Information**

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

- **Index Identifier:** LG38TRUU

### Schedule of Portfolio Investments

| Name                                                     | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                      | 317U1QLA9 PIMCO SWAPTION 3.8 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-335.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U1QMA8 PIMCO SWAPTION 3.2 CALL USD 20230112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-12.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U1SYA1 PIMCO SWAPTION 3.73 PUT USD 20230123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-593.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U1SZA0 PIMCO SWAPTION 3.23 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-49.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U385O5 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-0.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1204.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-253.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U392O6 PIMCO SWAPTION 2.1 PUT EUR 20230403           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-3082.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U400O6 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-0.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U401O5 PIMCO SWAPTION 2.1 PUT EUR 20230404           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-3101.09     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U478O3 PIMCO FPPSWAPTION 2.785 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1135.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U479O2 PIMCO FPPSWAPTION 2.785 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-280.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U749I9 PIMCO SWAPTION 2.31 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-16529.10    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U750I5 PIMCO SWAPTION 2.18 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    125000 | NC      | $13247.29     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS AUD R US3ML/AUD3MBBSW+29 AZD                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $379.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS AUD R US3ML/AUD3MBBSW+29.75 MYC                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $261.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS AUD R US3ML/AUD3MBBSW+42 CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $299.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS AUD R US3ML/AUD3MBBSW+42.25 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-573.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 1.75000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-20187.23    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 1.75000 06/16/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-6679.82     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 3.75000 03/15/23-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $5691.91      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.25000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-1610.61     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.50000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-18087.08    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CAD 1.00000 06/16/21-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-10876.32    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CAD 1.22000 03/03/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-33781.32    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CAD 1.25000 06/16/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-33383.96    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CAD 1.50000 06/17/20-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-48014.52    | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CAD 1.50000 06/17/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-4974.14     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CAD 1.75000 12/16/16-30Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-61375.16    | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CAD 2.50000 06/19/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-17935.08    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CNY 2.50000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |         1 | NC      | $-3700.35     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CNY 2.50000 12/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |         1 | NC      | $-1158.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CZK 1.91250 01/30/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |         1 | NC      | $-6199.86     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 0.65000 04/12/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-10841.08    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 0.65000 05/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-11023.71    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 1.00000 03/30/23-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-18991.45    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 1.00000 05/13/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-9266.73     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 1.50000 03/15/23-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-14738.51    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 1.50000 03/15/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $79183.22     | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 1.50000 03/15/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-424521.71   | -1.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 1.75000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-242956.83   | -1.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-30737.68    | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $645.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-425.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS HUF 1.50000 03/20/19-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | HU        |         1 | NC      | $-4758.09     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS KRW 3.00000 06/15/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-3529.68     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS KRW 3.00000 09/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-12720.94    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS KRW 3.25000 06/15/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-547.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MXN 4.87000 07/13/20-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-10655.56    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 3.25000 03/16/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $548.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 3.50000 03/16/22-10Y NGF                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $893.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 3.50000 03/16/22-10Y SCX                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $893.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 3.50000 09/21/22-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $767.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 3.75000 09/21/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $485.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 4.00000 09/21/22-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $-1573.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS NZD 3.00000 11/01/22-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-9372.50     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS NZD 3.00000 12/15/22-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-11955.40    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS NZD 3.75000 06/15/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-14692.77    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS NZD 4.00000 06/14/23-1Y (RED) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-6807.20     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS SEK 0.50000 06/19/19-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |         1 | NC      | $-12936.26    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS THB R 2.00000 03/16/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-1530.83     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS THB R 2.50000 09/21/22-10Y GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $25.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS THB R 2.75000 06/15/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $83.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS THB R 2.75000 09/21/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $920.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS THB R 3.25000 06/15/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $1266.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS THB R 3.25000 06/15/22-10Y BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $2352.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS THB R 3.25000 06/15/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $1266.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD 1.24900 08/31/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $20311.01     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD 1.25000 12/15/21-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $192126.36    | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD 1.29800 08/25/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8618.31      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD 1.50000 12/15/21-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-118246.38   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD 1.51800 01/20/22-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-26369.03    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD 1.63000 01/20/22-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-12535.37    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD R 3ML/1ML+7 03/07/22-24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $170.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD R 3ML/1ML+7.25 04/27/22-23 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $998.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD R 3ML/3ML+10.2 10/04/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $199.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD R 3ML/3ML+10.5 09/27/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $163.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS USD R 3ML/3ML+8.8 09/06/22-24 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $198.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS ZAR 7.25000 06/20/18-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $-19.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/5.75000 03/16/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $11427.84     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/6.25000 03/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $912.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/6.25000 09/21/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-3291.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/6.25000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-1568.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/6.50000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $243.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/6.50000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-439.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/6.75000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $1816.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/7.00000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-2358.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBCSORA/1.2500 09/15/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBCSORA/2.50000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-3313.13     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBCSORA/2.75000 06/15/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-6279.02     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBCSORA/2.75000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-5198.92     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBCSORA/3.25000 12/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $125.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.00000/THORON 09/21/22-2Y BOA                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-163.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.00000/THORON 09/21/22-2Y GST                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-787.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.00000/THORON 09/21/22-2Y NGF                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-89.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.00000/THORON 09/21/22-2Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-735.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.00000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $27.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-279.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-82.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS THB P 2.25000/THORON 12/21/22-5Y BOA                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-364.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS USD SOFR/2.96466 10/05/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10792.78    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS USD SOFR/2.96815 10/05/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10769.33    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |         1 | NC      | $-6104.92     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |         1 | NC      | $-12037.67    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR EUR ESTRON/1.00000 11/23/22-2Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-17367.58    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/0.01000 02/07/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-23904.06    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-127758.88   | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-31665.90    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/2.25000 03/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-29240.61    | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-26600.62    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUT+5.89/0.00000 06/17/20-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-7145.47     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUT+5.89/0.0350 11/29/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-7898.16     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.00000 12/15/21-2Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-499.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.00000 12/15/21-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-16378.50    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.0500 12/15/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-6365.25     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.2500 09/14/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-13493.06    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.4500 12/15/21-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-8225.66     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.5000 09/15/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-2129.53     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.8000 06/15/22-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $9768.72      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.00000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $99037.74     | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.00000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-144787.71   | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.00000 12/15/21-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $21197.15     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.25000 12/15/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13009.46    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.50000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13088.56    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.61750 02/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11336.74    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.75000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $60742.75     | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.75000 06/15/22-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52727.40     | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18167.18     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.75000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $185664.72    | 0.80%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.75000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34224.88     | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.88750 03/22/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9965.25     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.93600 03/25/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-19371.93    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.17500 04/21/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-16783.23    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.72986 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10841.18     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.74966 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5304.70      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.81711 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $19639.62     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.81811 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4904.05      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.81856 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4901.42      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $51000.08     | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.33507 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1794.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.45389 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2208.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.82761 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2098.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.89765 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1440.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $16.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-3143.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-104069.54   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-143851.19   | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CZK SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $5706.07      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230214                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1142.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $239.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SEK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $32.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-894.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1654.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $6.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $2352.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230221                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-27612.72    | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-15285.75    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-177.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | LONG GILT FUTURE  MAR23 IFLL 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -3 | NC      | $23680.39     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         2 | NC      | $-1501.91     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -13 | NC      | $13185.31     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 2YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -5 | NC      | $-494.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 5YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        11 | NC      | $-1690.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                        | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97020.21     | 0.42%             | 2036-12-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                          | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1              | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53493 | PA      | $28650.07     | 0.12%             | 2036-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                   | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG A 144A       | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96180.28     | 0.41%             | 2039-02-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                            | BOEING CO SR UNSECURED 02/24 1.433                      | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95872.76     | 0.41%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BRSP 2021-FL1 LTD                                        | BRIGHTSPIRE CAPITAL, INC BRSP 2021 FL1 A 144A           | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $96593.61     | 0.41%             | 2038-08-19      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                              | CANADIAN GOVERNMENT BONDS 12/51 2                       | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    100000 | PA      | $56154.89     | 0.24%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                     | CHARTER COMMUNICATIONS OPERATI 2019 TERM LOAN B2        | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     93631 | PA      | $91571.15     | 0.39%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1814 | PA      | $1511.81      | 0.01%             | 2037-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND BONDS 04/51 3.72                  | CUSIP: ACI1X4BQ9<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    600000 | PA      | $93547.81     | 0.40%             | 2051-04-12      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND BONDS 05/30 2.68                  | CUSIP: ACI1MK202<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1100000 | PA      | $156622.46    | 0.67%             | 2030-05-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND BONDS 10/51 3.53                  | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    800000 | PA      | $120979.35    | 0.52%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND UNSECURED 09/50 3.81              | CUSIP: ACI1RLL61<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1200000 | PA      | $189588.06    | 0.81%             | 2050-09-14      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                  | COUNTRYWIDE HOME LOANS CWHL 2007 19 2A1                 | CUSIP: 12544PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46142 | PA      | $24596.54     | 0.11%             | 2047-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | CITIGROUP INC SR UNSECURED 03/33 VAR                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $85797.68     | 0.37%             | 2033-03-17      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV1 A3B 144A  | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91099 | PA      | $76471.11     | 0.33%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1        | CUSIP: 17313CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129267 | PA      | $127212.73    | 0.55%             | 2037-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2           | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1127 | PA      | $1082.55      | 0.00%             | 2035-09-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A11      | CUSIP: 12668BYC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188469 | PA      | $89463.88     | 0.38%             | 2036-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1        | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107744 | PA      | $56107.61     | 0.24%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH2                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH2 A1 144A     | CUSIP: 12668JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31880 | PA      | $26069.02     | 0.11%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4          | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198671 | PA      | $189426.75    | 0.81%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A            | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14302 | PA      | $12912.85     | 0.06%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB1                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB1 M2          | CUSIP: 126673XT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77373 | PA      | $75287.70     | 0.32%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 3A1        | CUSIP: 25151XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76635 | PA      | $59618.29     | 0.26%             | 2047-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                         | DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625          | CUSIP: ACI1J0CL3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $94546.17     | 0.41%             | 2027-01-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                         | DEUTSCHE BANK AG SR UNSECURED REGS 02/26 2.625          | CUSIP: ACI183TV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $202270.21    | 0.87%             | 2026-02-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                         | DEUTSCHE BANK AG SR UNSECURED REGS 11/30 VAR            | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $84306.14     | 0.36%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                            | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95422.60     | 0.41%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| DRYDEN 36 SENIOR LOAN FUND 2014-36A                      | DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A         | CUSIP: 26249KAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     91297 | PA      | $90318.97     | 0.39%             | 2029-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                     | EUROSAIL PLC ESAIL 2007 1X A3A REGS                     | CUSIP: B1SJSZII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4696 | PA      | $4980.72      | 0.02%             | 2045-03-13      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                     | EUROSAIL PLC ESAIL 2007 1X A3C REGS                     | CUSIP: B1SW63II6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9392 | PA      | $11254.48     | 0.05%             | 2045-03-13      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                     | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97619 | PA      | $94951.79     | 0.41%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5             | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96117 | PA      | $81646.64     | 0.35%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7867 | PA      | $7390.89      | 0.03%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                        | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1       | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9343 | PA      | $4091.64      | 0.02%             | 2037-05-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                              | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |      1519 | PA      | $14560.18     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                              | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     53430 | PA      | $519129.03    | 2.22%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47944 | PA      | $44043.71     | 0.19%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71847 | PA      | $63672.23     | 0.27%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31914 | PA      | $30209.29     | 0.13%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36178 | PA      | $33317.00     | 0.14%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                            | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/23 1.514       | CUSIP: 345397ZS5<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106496.45    | 0.46%             | 2023-02-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 05/72 0.5              | CUSIP: ACI1V7HH8<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     50000 | PA      | $19958.80     | 0.09%             | 2072-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS REGS 05/45 3.25                  | CUSIP: ACI05M6Y1<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    140000 | PA      | $147842.93    | 0.63%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS REGS 05/52 0.75                  | CUSIP: ACI1JFLL0<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    250000 | PA      | $141325.31    | 0.61%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) UNSECURED 144A REGS 05/48 2            | CUSIP: ACI0V7KW3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    220000 | PA      | $182046.27    | 0.78%             | 2048-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                         | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1385 | PA      | $1371.88      | 0.01%             | 2037-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                  | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17487 | PA      | $17499.68     | 0.07%             | 2038-01-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                  | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17487 | PA      | $653.56       | 0.00%             | 2038-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 02/33 VAR          | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81458.10     | 0.35%             | 2033-02-24      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93294.84     | 0.40%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                        | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $96749.32     | 0.41%             | 2036-12-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1             | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A    | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89491 | PA      | $72265.55     | 0.31%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1             | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A    | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96181 | PA      | $80386.00     | 0.34%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-MM1             | GS MORTGAGE BACKED SECURITIES GSMBS 2022 MM1 A2 144A    | CUSIP: 36266PAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91910 | PA      | $74219.02     | 0.32%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                         | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11326 | PA      | $11143.66     | 0.05%             | 2035-11-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 2 LTD                                    | HALSEYPOINT CLO II, LTD. HLSY 2020 2A A1 144A           | CUSIP: 40638TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     99576 | PA      | $98041.90     | 0.42%             | 2031-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11       | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128161 | PA      | $67998.43     | 0.29%             | 2036-02-19      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $184597.32    | 0.79%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                             | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000            | CUSIP: ACI2BMD22<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        |  33000000 | PA      | $88472.44     | 0.38%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                             | NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000            | CUSIP: ACI2BTZ49<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | MUN               | HU        |  37000000 | PA      | $99196.38     | 0.43%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                      | IMPAC CMB TRUST IMM 2004 8 1A                           | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17212 | PA      | $15729.32     | 0.07%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8713 | PA      | $8038.12      | 0.03%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | ISRAEL FIXED BOND BONDS 03/27 2                         | CUSIP: ACI0RRBN4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $54031.60     | 0.23%             | 2027-03-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | ISRAEL MAKAM BILL BILLS 01/23 0.00000                   | CUSIP: ACI22SVD5<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    500000 | PA      | $142178.85    | 0.61%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | ISRAEL MAKAM BILL BILLS 02/23 0.00000                   | CUSIP: ACI25P422<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    746000 | PA      | $211456.07    | 0.91%             | 2023-02-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | ISRAEL MAKAM BILL BILLS 03/23 0.00000                   | CUSIP: ACI240MX0<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    700000 | PA      | $197970.82    | 0.85%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | ISRAEL MAKAM BILL BILLS 04/23 0.00000                   | CUSIP: ACI254262<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    300000 | PA      | $84545.71     | 0.36%             | 2023-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                               | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 12/31 0 | CUSIP: BMCR15II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    100000 | PA      | $79624.08     | 0.34%             | 2031-12-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                               | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6          | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    100000 | PA      | $122115.01    | 0.52%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2021-INV5                     | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV5 A2 144A        | CUSIP: 46653XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87556 | PA      | $73387.72     | 0.31%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM)      | JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 09/25 0.625   | CUSIP: 471068AS5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |    200000 | PA      | $179227.90    | 0.77%             | 2025-09-02      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 09/35 1.2                   | CUSIP: ACI0GYYD8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  47450000 | PA      | $377362.00    | 1.62%             | 2035-09-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 06/46 0.3                   | CUSIP: ACI0MYW19<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  25000000 | PA      | $148253.20    | 0.64%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                   | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9650000 | PA      | $59086.76     | 0.25%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5                   | CUSIP: ACI0PP6W6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  47750000 | PA      | $296571.01    | 1.27%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 09/51 0.7                   | CUSIP: ACI212NK6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4000000 | PA      | $24433.10     | 0.10%             | 2051-09-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                   | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  35750000 | PA      | $225777.43    | 0.97%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  31446300 | PA      | $247875.63    | 1.06%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI28TDC9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  20000000 | PA      | $152394.09    | 0.65%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI28ZYN8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  30000000 | PA      | $228597.07    | 0.98%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI2946L1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 160000000 | PA      | $1219216.10   | 5.22%             | 2023-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI29DFN7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 160000000 | PA      | $1219305.09   | 5.22%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI29L6H2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  80000000 | PA      | $609674.49    | 2.61%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI2B3GL9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  50000000 | PA      | $381074.37    | 1.63%             | 2023-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI2B8F47<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 100000000 | PA      | $762176.93    | 3.27%             | 2023-02-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000            | CUSIP: ACI2BHRL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  80000000 | PA      | $609774.46    | 2.61%             | 2023-03-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JFIN CLO LTD 2017-2A                                     | APEX CREDIT CLO LLC JFIN 2017 2A AR 144A                | CUSIP: 46593CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    164566 | PA      | $161908.63    | 0.69%             | 2029-09-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 2A1        | CUSIP: 46627MBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29576 | PA      | $21566.18     | 0.09%             | 2035-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                     | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR              | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90603.70     | 0.39%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                         | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2              | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5959 | PA      | $4427.81      | 0.02%             | 2036-02-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                       | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178887 | PA      | $149939.26    | 0.64%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                       | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175713 | PA      | $147279.28    | 0.63%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                             | 7 ELEVEN INC SR UNSECURED 144A 02/23 0.625              | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99491.68     | 0.43%             | 2023-02-10      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                       | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92236 | PA      | $77310.60     | 0.33%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                     | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    571677 | PA      | $57236.78     | 0.25%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                     | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |     99397 | PA      | $10424.20     | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                     | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    602942 | PA      | $63956.97     | 0.27%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCCM 2021-FL2 TRUST                                      | LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A     | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $97030.85     | 0.42%             | 2038-12-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LMREC 2021-CRE4 LLC                                      | LATITUDE MANAGEMENT REAL ESTAT LMREC 2021 CRE4 A 144A   | CUSIP: 50210LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45259 | PA      | $44835.48     | 0.19%             | 2037-04-22      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                            | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $96989.20     | 0.42%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                            | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A    | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $95627.67     | 0.41%             | 2038-11-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA GOVERNMENT BONDS 03/23 3.48                    | CUSIP: ACI05FPC3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    600000 | PA      | $136344.31    | 0.58%             | 2023-03-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO II DAC 2A                               | MAN GLG EURO CLO GLGE 2A A1R 144A                       | CUSIP: ACI1DJHC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    142909 | PA      | $149578.05    | 0.64%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $259615.68    | 1.11%             | 2031-12-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                            | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS             | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     44671 | PA      | $51930.25     | 0.22%             | 2049-12-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| MARKS AND SPENCER PLC                                    | MARKS + SPENCER PLC SR UNSECURED REGS 12/23 4.25        | CUSIP: ACI0R7MT3<br>LEI: 213800CN1RI3UCIZWB95 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $119206.47    | 0.51%             | 2023-12-08      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                   | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9799 | PA      | $8741.32      | 0.04%             | 2032-08-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2          | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2613 | PA      | $2445.59      | 0.01%             | 2035-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A      | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $95998.68     | 0.41%             | 2036-07-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $95935.81     | 0.41%             | 2036-10-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                              | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 08/24 VAR     | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $197429.86    | 0.85%             | 2024-08-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $188808.63    | 0.81%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3            | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50717 | PA      | $47360.43     | 0.20%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1            | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51888 | PA      | $47537.04     | 0.20%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                              | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS               | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     81863 | PA      | $92175.83     | 0.39%             | 2050-12-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                      | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85    | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83604.54     | 0.36%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                     | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2           | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90410.81     | 0.39%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   2596796 | PA      | $260098.25    | 1.11%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     97598 | PA      | $10841.64     | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    397133 | PA      | $39877.99     | 0.17%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    773234 | PA      | $82042.82     | 0.35%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: BDDX39II4<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        67 | PA      | $6.63         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     99543 | PA      | $10454.63     | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    389461 | PA      | $43245.00     | 0.19%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                       | ORACLE CORP SR UNSECURED 03/31 2.875                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83158.42     | 0.36%             | 2031-03-25      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-3                        | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A1 144A    | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    113853 | PA      | $112541.37    | 0.48%             | 2029-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP            | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/25 3.95   | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $96407.59     | 0.41%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU BONDS 144A 08/40 5.35                  | CUSIP: 715638DB5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    100000 | PA      | $19713.97     | 0.08%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35           | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $100246.79    | 0.43%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     79000 | PA      | $19657.46     | 0.08%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94           | CUSIP: P78024AE9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    173000 | PA      | $41830.30     | 0.18%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35           | CUSIP: P78024AC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    300000 | PA      | $75185.09     | 0.32%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81263 | PA      | $72828.89     | 0.31%             | 2051-09-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                       | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR  | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    100000 | PA      | $326.89       | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                   | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    290052 | PA      | $30800.56     | 0.13%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                   | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    194940 | PA      | $21645.53     | 0.09%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                      | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 M2           | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22816 | PA      | $20559.74     | 0.09%             | 2032-12-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A               | RESIDENTIAL MORTGAGE SECURITIE RMS 32A A 144A           | CUSIP: ACI1PKR28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     65767 | PA      | $79220.24     | 0.34%             | 2070-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                  | RIPON MORTGAGES PLC RIPON 1RA A 144A                    | CUSIP: ACI23KYX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    172229 | PA      | $204353.97    | 0.88%             | 2056-08-28      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                            | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS            | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     72591 | PA      | $80459.11     | 0.34%             | 2044-06-12      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                            | RMAC SECURITIES PLC RMACS 2007 NS1X A2C REGS            | CUSIP: B231LHII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     62531 | PA      | $62479.13     | 0.27%             | 2044-06-12      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $74170.11     | 0.32%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     50000 | PA      | $34426.27     | 0.15%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA UNSECURED 144A 04/41 2.75                       | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     15000 | PA      | $9054.63      | 0.04%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                          | SANDS CHINA LTD SR UNSECURED 08/28 5.9                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $187532.60    | 0.80%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                      | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A        | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50141 | PA      | $41729.99     | 0.18%             | 2037-12-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)                   | IHO VERWALTUNGS GMBH SR SECURED REGS 05/25 3.625        | CUSIP: ACI1C5ZK6<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $97943.13     | 0.42%             | 2025-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                              | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1            | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $77203.17     | 0.33%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                   | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3C         | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124738 | PA      | $111659.12    | 0.48%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| SHAMROCK RESIDENTIAL 2022-1 DAC 22-1                     | SHAMROCK RESIDENTIAL SROCK 2022 1 A REGS                | CUSIP: ACI2439Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     89941 | PA      | $94062.75     | 0.40%             | 2061-01-24      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| SILVERSTONE MASTER ISSUER PLC 19-1A                      | SILVERSTONE MASTER ISSUER SMI 2019 1A 2A 144A           | CUSIP: ACI1BCW41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     48000 | PA      | $58133.60     | 0.25%             | 2070-01-21      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49041 | PA      | $43303.02     | 0.19%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90700 | PA      | $88028.66     | 0.38%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 03/28 5.5                     | CUSIP: B2QK2VII4<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  80000000 | PA      | $69424.88     | 0.30%             | 2028-03-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 06/27 2.125                   | CUSIP: BD6K2YII6<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  65000000 | PA      | $48010.51     | 0.21%             | 2027-06-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 06/28 2.625                   | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 130000000 | PA      | $97227.85     | 0.42%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 12/27 2.375                   | CUSIP: ACI0Z91H9<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  80000000 | PA      | $59351.99     | 0.25%             | 2027-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 12/28 2.375                   | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 330000000 | PA      | $242424.20    | 1.04%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/37 0 | CUSIP: ACI1X3J42<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $70936.86     | 0.30%             | 2037-07-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/66 3 | CUSIP: BYZK81II4<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    120000 | PA      | $113609.94    | 0.49%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/71 1 | CUSIP: BLH1ZLII0<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     75000 | PA      | $36835.72     | 0.16%             | 2071-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $96957.74     | 0.42%             | 2038-04-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2A                          | STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A       | CUSIP: ACI1W61K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     72930 | PA      | $87419.13     | 0.37%             | 2060-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-9            | STRUCTURED ASSET INVESTMENT LO SAIL 2004 9 M3           | CUSIP: 86358EMV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116162 | PA      | $111976.48    | 0.48%             | 2034-10-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-EQ1A                      | STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A A1 144A   | CUSIP: 86360RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3118 | PA      | $3074.56      | 0.01%             | 2036-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                       | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11768 | PA      | $11271.96     | 0.05%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $96881.42     | 0.42%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED               | SYDNEY AIRPORT FINANCE SR SECURED 144A 03/23 3.9        | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |    100000 | PA      | $99732.92     | 0.43%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                             | TCI SYMPHONY CLO TSYMP 2016 1A AR2 144A                 | CUSIP: 87229WAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97800.74     | 0.42%             | 2032-10-13      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE               | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1278 | PA      | $1115.99      | 0.00%             | 2033-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 06/37 3.39        | CUSIP: ACI287LN4<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |    799000 | PA      | $24032.99     | 0.10%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 06/43 3.45        | CUSIP: ACI27N3Q3<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |   3200000 | PA      | $93798.60     | 0.40%             | 2043-06-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                  | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1           | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4386 | PA      | $3608.34      | 0.02%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                         | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137087 | PA      | $127935.05    | 0.55%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                       | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25807 | PA      | $25590.54     | 0.11%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                         | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42323 | PA      | $38988.39     | 0.17%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A             | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2019 1A A 144A     | CUSIP: 89231XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $96421.10     | 0.41%             | 2031-11-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5              | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97685.20     | 0.42%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                              | TRINITY SQUARE TRINI 2021 1A A 144A                     | CUSIP: ACI1WK7V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     72005 | PA      | $86043.36     | 0.37%             | 2059-07-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -400000 | PA      | $-355816.73   | -1.52%            | 2038-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2500000 | PA      | $-2034822.53  | -8.72%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -150000 | PA      | $-127047.46   | -0.54%            | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $966481.19    | 4.14%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $363680.46    | 1.56%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $562783.46    | 2.41%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1251491.77   | 5.36%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $202841.84    | 0.87%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 01/44 3.25               | CUSIP: B84Z9VII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    150000 | PA      | $161234.98    | 0.69%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 01/49 1.75               | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    100000 | PA      | $77449.88     | 0.33%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 07/51 1.25               | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    100000 | PA      | $65376.68     | 0.28%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT UNSECURED REGS 07/53 1.5            | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    100000 | PA      | $69384.09     | 0.30%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    604060 | PA      | $568297.40    | 2.43%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    138800 | PA      | $144792.56    | 0.62%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     55593 | PA      | $49161.30     | 0.21%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 04/25 2.875                             | CUSIP: 9128284M9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $290378.91    | 1.24%             | 2025-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 12/24 4.25                              | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $119592.19    | 0.51%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                  | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91350 | PA      | $73767.06     | 0.32%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97450.30     | 0.42%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                            | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92337 | PA      | $74099.48     | 0.32%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE CDO LTD 2016-25A                                 | VENTURE CDO LTD VENTR 2016 25A ARR 144A                 | CUSIP: 92329VAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     46200 | PA      | $45744.43     | 0.20%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVI CLO LTD 2017-26A                            | VENTURE CDO LTD VENTR 2017 26A AR 144A                  | CUSIP: 92331MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     96638 | PA      | $95516.45     | 0.41%             | 2029-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2021-CRE5                                    | AREIT CRE TRUST AREIT 2021 CRE5 A 144A                  | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     71333 | PA      | $68291.64     | 0.29%             | 2038-11-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A          | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20635 | PA      | $20157.38     | 0.09%             | 2034-03-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2         | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16303 | PA      | $15793.81     | 0.07%             | 2035-03-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1       | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5470 | PA      | $4672.30      | 0.02%             | 2036-09-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | FIXED INC CLEARING CORP.REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    204000 | PA      | $204000.00    | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                           | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                   | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      7000 | PA      | $1636.25      | 0.01%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                           | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                   | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      5000 | PA      | $1168.75      | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | REVERSE REPO THE BANK OF NOVA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -288375 | PA      | $-290402.84   | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | AUST 10Y BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         7 | NC      | $-31328.07    | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | AUST 3YR BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -3 | NC      | $2896.07      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $785.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $738.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT HUF SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $5143.49      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $40.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $230.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ZAR SOLD USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $732.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-111.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3836.46      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-582.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-11612.83    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230111                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-18971.32    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-8166.65     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-2991.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4953.51      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $120.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $39.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $4703.32      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $14000.09     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $61.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $3884.56      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SEK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $612.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $382.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-3.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1082.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1280.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-993.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-269.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-433.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $405.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT COP SOLD USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-141.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $262.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $2159.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNY BOUGHT USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-63.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-311.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-141.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-435.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-414.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-48.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $45.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $147.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $96.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20230213                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-175.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-989.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CAN 10YR BOND FUT MAR23 XMOD 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -2 | NC      | $3235.02      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | CDX EM37 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4877.38      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX IG39 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $10398.51     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CHINA AS BP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-380.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CHINA AS BP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-380.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $11.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-402.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20230202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $419.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $6564.04      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CLP SOLD USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $2834.38      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CLP SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $417.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CLP SOLD USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $242.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CLP SOLD USD 20230221                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $1214.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $558.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $474.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1288.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $311.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-674.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-84.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-175.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-267.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CAD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $28.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CLP BOUGHT USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-1188.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-424.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-238.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $446.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-221.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1156.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2234.67     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $15996.20     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $6981.86      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20230302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $6653.52      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20230405                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $6067.56      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-6163.56     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20230201                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-927.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-580.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20230410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5061.24     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $11.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-38.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-158.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $6191.14      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-0.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-0.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-6263.80     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $11.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-OAT FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -5 | NC      | $47373.49     | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | EURO-BOBL FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -20 | NC      | $80081.18     | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | EURO-BUND FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         1 | NC      | $-9185.48     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | EURO-BUXL 30Y BND MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         1 | NC      | $-27361.72    | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | EURO-SCHATZ FUT   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        24 | NC      | $-35927.54    | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | RXG3C 146 FEB23 146 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $801.92       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | RXG3P 138.5 FEB23 138.5 PUT FSO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $-5128.37     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20230404                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $778.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CLP SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $2228.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3821.84      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT COP SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-702.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $495.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $868.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $1758.34      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $9396.21      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $783.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-762.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-13.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CLP BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-2446.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $5720.47      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20230222                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $436.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $723.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-0.51        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-464.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-5849.01     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $416.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-81.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-3.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $234.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $290.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-197.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $117.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $99.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-4762.44     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT COP SOLD USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-5.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $145143.48    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $656.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $544.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $153.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $34726.86     | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $41.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-326.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-4.15        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-5083.61     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1044.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-304.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-764.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $96.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $211.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-565.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1398.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-422.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230206                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-57958.87    | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230227                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-44448.36    | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | TRS SOFRINDX/IBOXIG INDX 06/20/23 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $872.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | TRS SOFRINDX/IBOXIG INDX 06/20/23 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2965.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | TRS SOFRINDX/IBOXIG INDX 06/20/23 MYC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1228.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | TRS SOFRINDX/IBOXIG INDX 09/20/23 BOA                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $6763.81      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | TRS SOFRINDX/IBOXIG INDX 09/20/23 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2950.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BTP FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         2 | NC      | $-17300.52    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | ITALY GOVT SW SP BOA                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $245.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | ITALY GOVT SW SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $245.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SHORT EURO-BTP FU MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -6 | NC      | $11244.90     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315             | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -100000 | NC      | $-19.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX ITRAXX MAIN37 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $1544.32      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX ITRAXX MAIN38 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $5713.02      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                           | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 09/26 0.5       | CUSIP: ACI1RRGQ0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    400000 | PA      | $243329.15    | 1.04%             | 2026-09-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $5408.60      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $6433.54      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $512.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                           | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 12/30 1         | CUSIP: ACI1MC4G3<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    100000 | PA      | $54361.94     | 0.23%             | 2030-12-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $249.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $3.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $33.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20230103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1091.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $76.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $6593.76      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $254.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $83381.46     | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $67959.37     | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $3606.13      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $254.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $320.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-287.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NOK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-49.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $64.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT HUF SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $25.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | ROLLS-ROYCE PLC SNR SE ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-3299.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $84.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20230420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $11955.29     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CAD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-58.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1551.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-77.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $2431.38      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 3 MONTH SOFR FUT  DEC23 XCME 20240319                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -24 | NC      | $11583.24     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 3 MONTH SOFR FUT  JUN23 XCME 20230919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        14 | NC      | $-14348.16    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 3 MONTH SOFR FUT  JUN24 XCME 20240917                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        12 | NC      | $-5548.84     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOUTH KOREA GOVT AS BP BPS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-716.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOUTH KOREA GOVT AS BP BRC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-179.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOUTH KOREA GOVT AS BP HUS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-358.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $342.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-2457.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $351.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $62.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1500.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT DKK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $105.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $509.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $310.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                 | AVON FINANCE AVON 2A A 144A                             | CUSIP: ACI1RJQB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     65586 | PA      | $77791.01     | 0.33%             | 2048-09-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $84.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $3.66         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CHF BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-36.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CLP BOUGHT USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-3220.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1442.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-0.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-828.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-535.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-288.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-2155.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-6176.18     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-3190.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NZD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-3624.91     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-393.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-2705.33     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U00CA7 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-3117.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U00DA6 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-0.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U00EA5 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |   -100000 | NC      | $-1558.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U00KA8 PIMCO FPPSWAPTION 2.9925 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-107.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U00LA7 PIMCO FPPSWAPTION 2.9925 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1328.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U00OA4 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U05HA1 PIMCO SWAPTION 2.25 PUT EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1414.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U05LA6 PIMCO SWAPTION 0.7 CALL EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1115.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-157.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U07UA2 PIMCO SWAPTION 2.841 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1403.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U07VA1 PIMCO SWAPTION 2.841 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-107.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U08AA2 PIMCO SWAPTION 2.25 PUT EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1422.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U08BA1 PIMCO SWAPTION 0.7 CALL EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0BIA7 PIMCO SWAPTION 2.91 PUT USD 20231110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1315.21     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0BJA6 PIMCO SWAPTION 2.91 CALL USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-133.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0CWA9 PIMCO SWAPTION 2.1 PUT EUR 20230512           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1591.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0CXA8 PIMCO SWAPTION 0.55 CALL EUR 2023051          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-774.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-62.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-756.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-71.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0LEA9 PIMCO SWAPTION 3.75 PUT USD 20231207          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-690.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U0LFA8 PIMCO SWAPTION 2.25 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-83.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U164I5 PIMCO FPPSWAPTION 0.82 CALL GBP               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-297.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U1PGA7 PIMCO SWAPTION 3.65 PUT USD 20230109          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-602.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U1PHA6 PIMCO SWAPTION 3.15 CALL USD 2023010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer