# EDGAR Filing Document

**Accession Number:** 0001098605
**File Stem:** 0001098605-23-000044
**Filing Date:** 2023-3
**Character Count:** 109703
**Document Hash:** b976158f29ec6ad2f7a2c8ff2cb26b5a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001098605-23-000044.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001098605-23-000044

**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 Managed Accounts Trust
- **CENTRAL INDEX KEY:** 0001098605
- **IRS NUMBER:** 066484967
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09721
- **FILM NUMBER:** 23688715

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AllianzGI Managed Accounts Trust
- **DATE OF NAME CHANGE:** 20130125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANZ GLOBAL INVESTORS MANAGED ACCOUNTS TRUST
- **DATE OF NAME CHANGE:** 20090626

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANZ GLOBAL INVESTORS
- **DATE OF NAME CHANGE:** 20090626

## Series and Classes Contracts Data

### Fixed Income SHares: Series R (Series ID: S000004805)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013021 | Series R     | FXIRX           |

## 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 Managed Accounts Trust

- **b. Investment Company Act file number:** 811-09721

- **c. CIK number of Registrant:** 0001098605

- **d. LEI of Registrant:** 549300QOE6UAECNZYE02

- **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:** (800) 927-4648

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

- **a. Name of Series:** Fixed Income SHares: Series R

- **b. EDGAR series identifier (if any):** S000004805

- **c. LEI of Series:** ERY81DFZGNQ1I1V32G12

**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:** $377707021.99

**Total Liabilities:** $160816655.53

**Net Assets:** $216890366.46

**Cash Not Reported:** $5923824.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 9346.747600 | **1-Year:** -855.549400 | **5-Year:** 9603.127300 | **10-Year:** 24825.425600 | **30-Year:** -2494.933600

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

- **3-Month:** 0.000000 | **1-Year:** 375.091800 | **5-Year:** 517.818900 | **10-Year:** 25.678600 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000013021 | 2.27%                | 2.96%                | -1.24%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2533611.39             | $7738868.03                                |
| Month 2  | $-2609795.47             | $12912432.90                               |
| Month 3  | $-195147.77              | $-5116707.08                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury Inflation Total Return Unhedged Index

- **Index Identifier:** LBUTTRUU

### 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                                               | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-3077.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-39373.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U681I9 PIMCO SWAPTION 1.4275 CALL USD 20230          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  11500000 | NC      | $1.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U682I8 PIMCO SWAPTION 1.579 CALL USD 202301          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2500000 | NC      | $-0.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U714I0 PIMCO SWAPTION 1.41 CALL USD 2023020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  11400000 | NC      | $1.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U719I5 PIMCO SWAPTION 1.5575 CALL USD 20230          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2500000 | NC      | $-0.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U876Z6 PIMCO SWAPTION 2.34 PUT USD 20231117          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -20200000 | NC      | $-1309384.20  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U877Z5 PIMCO SWAPTION 2.2365 PUT USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   4100000 | NC      | $911626.39    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U940I6 PIMCO SWAPTION 1.71 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  21800000 | NC      | $2.18         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U941I5 PIMCO SWAPTION 1.785 CALL USD 202301          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4900000 | NC      | $-0.49        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U970I9 PIMCO SWAPTION 1.72 CALL USD 2023022          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  20400000 | NC      | $16.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U971I8 PIMCO SWAPTION 1.736 CALL USD 202302          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4500000 | NC      | $-48.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-830711.60   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 1.71 03/15/18-15Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $50920.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.359 08/15/22-8Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $66172.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-19932.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.47 07/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $30686.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-70745.45    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.57 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $26096.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-25185.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-32223.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3394.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.6 05/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $57964.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.72 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $28421.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 2.965 05/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $7207.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 3.0 05/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $34183.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $8182.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP EM NI 3.52 09/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-13925.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP FR NI 1.41 11/15/19-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |         1 | NC      | $-99796.57    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.325 08/15/15-15Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-451875.10   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.33 01/15/20-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-288142.84   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.438 01/15/20-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-168263.33   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.47 01/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $23820.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.48 01/15/20-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-143533.23   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.484 01/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $94598.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.566 03/15/21-15Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-122385.47   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.58 03/15/21-15Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-261803.89   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.72 09/15/22-15Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $46529.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.75 04/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-148967.52   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 3.85 09/15/19-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-291766.89   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 4.066 09/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-245119.45   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 4.125 09/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $4833.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 4.13 09/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $20148.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 4.1425 10/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $9430.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 4.615 02/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $108755.57    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 4.626 02/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $125939.73    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 4.735 12/15/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $87847.35     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 5.2 06/15/22-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $71346.49     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 5.33 06/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $71773.39     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 6.29 03/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $216648.88    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 6.44 05/15/22-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $52133.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP GB NI 6.6 05/15/22-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $118909.49    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 1.8825 11/20/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-68742.10    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 1.954 06/03/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-130037.42   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-161013.66   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-222981.50   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.21 02/05/18-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $292835.39    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.22 04/13/18-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $27302.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $156885.88    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.31375 02/26/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $260048.17    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.37 06/06/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-187668.44   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.41875 03/05/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $191664.94    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.69 06/01/21-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $43870.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $60797.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.7675 05/13/21-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $127999.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 2.813 05/14/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $55042.02     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 3.583 02/08/22-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-324529.66   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 4.95 03/07/22-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-56226.89    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 5.0325 03/08/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5389.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | INF SWAP US IT 5.47 03/21/22-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-67007.99    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR -0.52600 11/21/22-1Y (WHT) LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-414182.36   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR 0.00000 11/04/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1890032.32  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR 0.00000 11/08/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1688650.66  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $507357.23    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $556895.48    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $961406.53    | 0.44%             |  |  |  | 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      | $-216821.02   | -0.10%            |  |  |  | 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      | $-99213.31    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR 0.83000 12/09/42-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $38553.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A1          | CUSIP: 05951EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346884 | PA      | $293773.41    | 0.14%             | 2047-01-20      | Variable      | 3.77%                 | 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      | $-166802.34   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-74151.51    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS NZD 3.25000 03/21/18-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $50115.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS USD 1.84000 11/21/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $452317.80    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | IRS USD 1.88750 11/21/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-301366.78   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $19149.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD PLN BOUGHT USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-13592.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | LONG GILT FUTURE  MAR23 IFLL 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         9 | NC      | $-71058.81    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -305 | NC      | $136081.17    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        39 | NC      | $-115725.27   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | US 2YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        97 | NC      | $-8837.86     | -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        |       119 | NC      | $-57692.39    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | US LONG BOND(CBT) MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -79 | NC      | $49879.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | US ULTRA BOND CBT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        15 | NC      | $212.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                       | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1050762 | PA      | $856363.94    | 0.39%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                        | CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A             | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88698 | PA      | $88280.72     | 0.04%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-AMC1              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AMC1 A1 144A   | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281299 | PA      | $267725.27    | 0.12%             | 2036-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A       | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140180 | PA      | $104439.01    | 0.05%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M3         | CUSIP: 17307GP85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $451593.90    | 0.21%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576891 | PA      | $464499.56    | 0.21%             | 2046-12-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                 | FANNIE MAE FNR 2007 4 DF                                | CUSIP: 31396PMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10173 | PA      | $9961.25      | 0.00%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                             | FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR          | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24202 | PA      | $24721.74     | 0.01%             | 2036-07-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                             | FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR          | CUSIP: 3128NHPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8660 | PA      | $8744.93      | 0.00%             | 2036-09-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                              | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1691 | PA      | $1611.73      | 0.00%             | 2044-10-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                              | FNMA POOL AS6311 FN 12/45 FIXED 3.5                     | CUSIP: 3138WGAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8170 | PA      | $7600.38      | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                       | FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1              | CUSIP: ACI1N4959<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2642539 | PA      | $2799891.80   | 1.29%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                       | FRANCE (GOVT OF) BONDS 144A REGS 07/23 2.1              | CUSIP: B2PP4HII3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    372954 | PA      | $408993.19    | 0.19%             | 2023-07-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                       | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1035639 | PA      | $1061577.90   | 0.49%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                       | FRANCE (GOVT OF) BONDS 144A REGS 07/38 0.1              | CUSIP: ACI25Z7H4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1694760 | PA      | $1626365.25   | 0.75%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                       | FRANCE (GOVT OF) BONDS REGS 07/24 0.25                  | CUSIP: ACI04Z888<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   3673920 | PA      | $3961421.81   | 1.83%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    293806 | PA      | $285727.51    | 0.13%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                  | GRIFONAS FINANCE PLC GRIF 1 A REGS                      | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     86705 | PA      | $84362.32     | 0.04%             | 2039-08-28      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7814 | PA      | $7338.34      | 0.00%             | 2035-09-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B1          | CUSIP: 41161PSV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232527 | PA      | $204440.53    | 0.09%             | 2035-06-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-3                    | HOME EQUITY ASSET TRUST HEAT 2004 3 M1                  | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35874 | PA      | $34938.61     | 0.02%             | 2034-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 1A1       | CUSIP: 45660N2W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594479 | PA      | $523576.29    | 0.24%             | 2034-05-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                        | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/25 1 | CUSIP: ACI1MHM64<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   9505900 | PA      | $10045855.66  | 4.63%             | 2025-05-26      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                        | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    466696 | PA      | $437399.44    | 0.20%             | 2030-05-15      | Fixed         | 0.40%                 | 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        | 416139370 | PA      | $3280220.80   | 1.51%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                        | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 655811100 | PA      | $5186924.12   | 2.39%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                        | JAPAN GOVT CPI LINKED BONDS 03/31 0.005                 | CUSIP: ACI1XV2Q9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  52203000 | PA      | $412285.96    | 0.19%             | 2031-03-10      | Fixed         | 0.01%                 | 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        |   1888546 | PA      | $198059.71    | 0.09%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                              | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   1756275 | PA      | $195681.06    | 0.09%             | 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        |         2 | PA      | $0.19         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | 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    | 0.07%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1          | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1           | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23134 | PA      | $23040.39     | 0.01%             | 2038-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                       | MEX BONOS DESARR FIX RT BONDS 05/31 7.75                | CUSIP: 975UCXII2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   8021000 | PA      | $380244.75    | 0.18%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2               | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M2             | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250115 | PA      | $240631.03    | 0.11%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2004-2                           | MORTGAGEIT TRUST MHL 2004 2 M2                          | CUSIP: 61913PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7641 | PA      | $7201.99      | 0.00%             | 2034-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LTD 15-10A                      | MOUNTAIN VIEW CLO LTD MVW 2015 10A AR 144A              | CUSIP: 62432CAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     37255 | PA      | $37300.30     | 0.02%             | 2027-10-13      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $300115.57    | 0.14%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198179.38    | 0.09%             | 2024-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                  | NEW ZEALAND GVT ILB BONDS REGS 09/25 2                  | CUSIP: ACI02MK69<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    371940 | PA      | $235008.33    | 0.11%             | 2025-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                  | NEW ZEALAND GVT ILB BONDS REGS 09/30 3                  | CUSIP: ACI06Z1N0<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   1474800 | PA      | $982817.20    | 0.45%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1              | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M3           | CUSIP: 65536HAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253426 | PA      | $1220467.38   | 0.56%             | 2035-05-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB              | NORDEA KREDIT REALKREDIT COVERED 10/47 2.5              | CUSIP: ACI0CR3W9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |       122 | PA      | $15.80        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB              | NORDEA KREDIT REALKREDIT COVERED 10/53 1                | CUSIP: ACI1N7374<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   1841032 | PA      | $193824.04    | 0.09%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB              | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1WZT66<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   1099952 | PA      | $115423.06    | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB              | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    100000 | PA      | $9957.97      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB              | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   1239960 | PA      | $137740.00    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB              | NORDEA KREDIT REALKREDIT COVERED 144A REGS 10/53 2      | CUSIP: ACI22CN07<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    499754 | PA      | $57370.17     | 0.03%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB              | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1           | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   3631116 | PA      | $386147.13    | 0.18%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | NYKREDIT REALKREDIT AS COVERED REGS 10/47 2.5           | CUSIP: ACI09WV27<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     16971 | PA      | $2187.62      | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | 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        |   4057581 | PA      | $430523.64    | 0.20%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N7309<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   2807528 | PA      | $295374.83    | 0.14%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    398168 | PA      | $39171.44     | 0.02%             | 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        |  15679331 | PA      | $1646749.59   | 0.76%             | 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        |  17088721 | PA      | $1897500.45   | 0.87%             | 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: ACI1X30Y6<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     99824 | PA      | $9932.41      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | NYKREDIT REALKREDIT AS COVERED REGS 10/53 2             | CUSIP: ACI1Z8QS8<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   5890960 | PA      | $647311.97    | 0.30%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | NYKREDIT REALKREDIT AS COVERED REGS 10/53 3             | CUSIP: ACI24L9V3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   5249721 | PA      | $671571.03    | 0.31%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                         | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    200000 | PA      | $48358.73     | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| QATAR GOVT                                        | STATE OF QATAR SR UNSECURED REGS 04/23 3.875            | CUSIP: ACI122SK2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    300000 | PA      | $298771.20    | 0.14%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 04/47 2.5               | CUSIP: ACI0B2V53<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     11563 | PA      | $1492.90      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | 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        |  11125470 | PA      | $1181412.60   | 0.54%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 10/50 1.5               | CUSIP: BH3VWMII9<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  39286551 | PA      | $4258305.20   | 1.96%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   1453026 | PA      | $152646.41    | 0.07%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  18804750 | PA      | $1970671.09   | 0.91%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   2411454 | PA      | $267760.00    | 0.12%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 10/53 2                 | CUSIP: ACI1Z07K3<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   1596197 | PA      | $175379.93    | 0.08%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 10/53 2                 | CUSIP: ACI22BWW9<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     37019 | PA      | $4276.36      | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                            | REALKREDIT DANMARK COVERED REGS 10/53 3                 | CUSIP: ACI24KGY1<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   4663815 | PA      | $597350.75    | 0.28%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1         | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198059 | PA      | $46123.96     | 0.02%             | 2046-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1               | SAXON ASSET SECURITIES TRUST SAST 2005 1 M2             | CUSIP: 805564RN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33010 | PA      | $30807.76     | 0.01%             | 2035-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIV LTD 2016-3A                   | SOUND POINT CLO LTD SNDPT 2016 3A AR2 144A              | CUSIP: 83609NAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    207898 | PA      | $206834.22    | 0.10%             | 2029-01-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XV LTD 2017-1A                    | SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A              | CUSIP: 83609RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    298689 | PA      | $294979.67    | 0.14%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A1         | CUSIP: 86364LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12436 | PA      | $12274.82     | 0.01%             | 2037-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 19-V2A                | TOWD POINT MORTGAGE FUNDING TPMF 2019 V2A A 144A        | CUSIP: ACI1GVL46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    469641 | PA      | $565619.66    | 0.26%             | 2054-02-20      | Floating      | 4.32%                 | 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        |   2200000 | PA      | $1932962.37   | 0.89%             | 2052-02-14      | Fixed         | 3.00%                 | 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        |   9200000 | PA      | $8629346.45   | 3.98%             | 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        |   5600000 | PA      | $5391041.49   | 2.49%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4532737.24   | 2.09%             | 2053-02-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83              | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    600000 | PA      | $606350.27    | 0.28%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                               | UNITED KINGDOM I/L GILT BONDS REGS 03/24 0.125          | CUSIP: B85SFQII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1028741 | PA      | $1264346.60   | 0.58%             | 2024-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    576000 | PA      | $572070.96    | 0.26%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/25 0.25                              | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10316994 | PA      | $9898229.90   | 4.56%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/26 0.625                             | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6822630 | PA      | $6550865.59   | 3.02%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/26 2                                 | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2271679 | PA      | $2269479.53   | 1.05%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/27 0.375                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    370098 | PA      | $349129.84    | 0.16%             | 2027-01-15      | Fixed         | 0.38%                 | 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        |   4639181 | PA      | $4364524.04   | 2.01%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14160736 | PA      | $14157725.36  | 6.53%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18175080 | PA      | $17324673.28  | 7.99%             | 2029-01-15      | Fixed         | 0.88%                 | 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        |   3635172 | PA      | $3792117.13   | 1.75%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/30 0.125                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18451082 | PA      | $16584682.92  | 7.65%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/31 0.125                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7704302 | PA      | $6847313.29   | 3.16%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19135534 | PA      | $16775233.62  | 7.73%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1599350 | PA      | $1694348.56   | 0.78%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/41 2.125                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7171416 | PA      | $7603419.80   | 3.51%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/42 0.75                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2756334 | PA      | $2309466.16   | 1.06%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3655171 | PA      | $2952232.84   | 1.36%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    588184 | PA      | $546797.01    | 0.25%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12363935 | PA      | $10010456.51  | 4.62%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7030487 | PA      | $5977781.89   | 2.76%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/47 0.875                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5981201 | PA      | $4909217.46   | 2.26%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1554080 | PA      | $1309593.32   | 0.60%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/49 1                                 | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3233030 | PA      | $2705638.29   | 1.25%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/50 0.25                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4462574 | PA      | $3013641.44   | 1.39%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/51 0.125                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4921866 | PA      | $3174646.00   | 1.46%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 02/52 0.125                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4067938 | PA      | $2638606.96   | 1.22%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 04/24 0.5                               | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7443891 | PA      | $7239599.89   | 3.34%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 04/26 0.125                             | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6522534 | PA      | $6133909.87   | 2.83%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 04/27 0.125                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3377440 | PA      | $3148771.91   | 1.45%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 04/28 3.625                             | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2413649 | PA      | $2631695.64   | 1.21%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 04/32 3.375                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    428117 | PA      | $490404.70    | 0.23%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/25 0.375                             | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5247687 | PA      | $5041025.15   | 2.32%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/26 0.125                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4711804 | PA      | $4441360.35   | 2.05%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9794569 | PA      | $9234776.27   | 4.26%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15670776 | PA      | $14935093.24  | 6.89%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8738740 | PA      | $8005009.79   | 3.69%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1975910 | PA      | $1770424.05   | 0.82%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48332554 | PA      | $42740832.44  | 19.71%            | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11077020 | PA      | $10154951.69  | 4.68%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 10/24 0.125                             | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4529889 | PA      | $4363046.39   | 2.01%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 10/25 0.125                             | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    803950 | PA      | $764234.41    | 0.35%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                | TSY INFL IX N/B 10/26 0.125                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9378730 | PA      | $8794078.54   | 4.05%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| VENTURE XXI CLO LTD 2015-21A                      | VENTURE XXI CLO VENTR 2015 21A AR 144A                  | CUSIP: 92330MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     31765 | PA      | $31832.55     | 0.01%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FIXED INC CLEARING CORP.REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   2854000 | PA      | $2854000.00   | 1.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | AUST 10Y BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -2 | NC      | $8832.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | AUST 3YR BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -10 | NC      | $9653.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | SOLD NOK BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-314.92      | -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      | $2320.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD NOK BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-652.68      | -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      | $846.13       | 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      | $1468.24      | 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      | $-8092.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT DKK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $437.85       | 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      | $2756.08      | 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      | $695.39       | 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      | $2462.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT PEN SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $305.32       | 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      | $1801.99      | 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      | $-5798.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2005-WF1               | ASSET BACKED FUNDING CERTIFICA ABFC 2005 WF1 M2         | CUSIP: 04542BLZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9680 | PA      | $9661.85      | 0.00%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-18704.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD PEN BOUGHT USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-311.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD PEN BOUGHT USD 20230201                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-6397.42     | -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      | $-180280.21   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 3MO EURO EURIBOR  MAR23 IFLL 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       198 | NC      | $-1739346.60  | -0.80%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | EURO-OAT FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -32 | NC      | $303228.88    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $575.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | EURO-BOBL FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -52 | NC      | $209711.85    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | EURO-BUND FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        32 | NC      | $-321431.92   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | EURO-BUXL 30Y BND MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -51 | NC      | $1068946.20   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | EURO-SCHATZ FUT   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |      -683 | NC      | $815395.44    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | RXG3C 146 FEB23 146 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -5 | NC      | $4009.58      | 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        |        -5 | NC      | $-25641.87    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | GOLD 100 OZ FUTR  FEB23 XCEC 20230224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -18 | NC      | $-93402.13    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | BOUGHT BRL SOLD USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2825.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD BRL BOUGHT USD 20230404                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2884.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2017-8A                | ATLAS SENIOR LOAN FUND LTD ATCLO 2017 8A A 144A         | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380933 | PA      | $376892.30    | 0.17%             | 2030-01-16      | Floating      | 5.23%                 | 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      | $25455.95     | 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      | $1774.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2976.92      | 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      | $3090.34      | 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      | $746.20       | 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      | $-375.97      | -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      | $7575.32      | 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      | $-146312.33   | -0.07%            |  |  |  | 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      | $-480530.80   | -0.22%            |  |  |  | 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      | $-7759.37     | -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      | $14027.56     | 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      | $-71153.78    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317515FG4 INF CAP US APR24 4.0 CALL                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -6500000 | NC      | $-20.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317526H53 INF CAP USD MAY24 4.0 CALL                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-4.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |  -1200000 | NC      | $-45200.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | EURO-BTP FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |      -119 | NC      | $1023229.89   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | SHORT EURO-BTP FU MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -60 | NC      | $104997.29    | 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        |   -600000 | NC      | $-114.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | CDX ITRAXX MAIN37 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $3665.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |       -22 | NC      | $448152.93    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | BOUGHT DKK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $6231.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                    | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 09/25 3         | CUSIP: B4RNSXII1<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   1171300 | PA      | $841651.10    | 0.39%             | 2025-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-10552.63    | -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      | $-170845.08   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-139245.83   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT PEN SOLD USD 20230106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $321.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT PEN SOLD USD 20230109                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $412.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT PEN SOLD USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $313.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT PEN SOLD USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $275.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | BOUGHT PEN SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $345.24       | 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      | $-641.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SOLD NZD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-22184.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U0BFA0 PIMCO SWAPTION 2.2 CALL USD 20230531          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  16300000 | NC      | $19493.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U0BHA8 PIMCO SWAPTION 2.35 CALL USD 2023053          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -9000000 | NC      | $-26587.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U0DXA6 PIMCO SWAPTION 2.2 CALL USD 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   5800000 | NC      | $3539.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U0DYA5 PIMCO SWAPTION 2.35 CALL USD 2023042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -3200000 | NC      | $-5413.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -900000 | NC      | $-2029.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -900000 | NC      | $-56845.20    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Managed Accounts Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer