# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004417
**Filing Date:** 2025-11
**Character Count:** 134310
**Document Hash:** 50e81a85aae57a55be22ff7ece0492a2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004417.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004417

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528221

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

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

## Series and Classes Contracts Data

### PIMCO Low Duration Fund II (Series ID: S000009692)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026582 | Institutional  | PLDTX           |
| C000026583 | Administrative | PDFAX           |

## 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 Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Low Duration Fund II

- **b. EDGAR series identifier (if any):** S000009692

- **c. LEI of Series:** K2P23FCTK76TNWYHPM24

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $445832664.62

**Total Liabilities:** $159206046.65

**Net Assets:** $286626617.97

**Delayed Delivery Securities:** $3148906.25

**Cash Not Reported:** $3600135.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18076.558900 | **1-Year:** 13166.163100 | **5-Year:** 19714.074800 | **10-Year:** 1197.837500 | **30-Year:** 37.279900

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

- **3-Month:** 9.455500 | **1-Year:** 106.123400 | **5-Year:** 100.906500 | **10-Year:** 4.661200 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026583 | -0.13%               | 1.07%                | 0.19%                |
| Class ID C000026582 | -0.11%               | 1.10%                | 0.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-138464.11              | $-115286.08                                |
| Month 2  | $628171.59               | $575182.35                                 |
| Month 3  | $-8089.38                | $212815.65                                 |

**Designated Index Information**

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

- **Index Identifier:** G1O2, LUICTRUU

### Schedule of Portfolio Investments

| Name                                                              | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FANNIE MAE REMICS 2012-125                                        | FANNIE MAE FNR 2012 125 GC                              | CUSIP: 3136A9E79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    794637 | PA      | $752495.27    | 0.26%             | 2042-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                            | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1887874.39   | 0.66%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-9                                          | FANNIE MAE FNR 2019 9 FA                                | CUSIP: 3136B33L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    421111 | PA      | $417983.16    | 0.15%             | 2049-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/27 4.9        | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152426.28    | 0.05%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADWA6 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-333.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304493.17    | 0.11%             | 2028-07-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                           | FREDDIE MAC FHR 5563 FV                                 | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1960886 | PA      | $1971186.66   | 0.69%             | 2055-08-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145898 | PA      | $136325.53    | 0.05%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3219 | PA      | $3243.09      | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                              | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM A 144A    | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $879537.51    | 0.31%             | 2037-07-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2517.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1379.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR              | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    600000 | PA      | $604121.15    | 0.21%             | 2028-07-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                        | ABBVIE INC ABBVIE INC                                   | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1011814.33   | 0.35%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 310125 FN 05/28 FIXED VAR                     | CUSIP: 31374CPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200566 | PA      | $197067.87    | 0.07%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC          | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    329505 | PA      | $329389.01    | 0.11%             | 2074-02-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA CITIBANK NA                                 | CUSIP: 17325FBF4<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    900000 | PA      | $906211.63    | 0.32%             | 2026-04-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    528643 | PA      | $5148453.89   | 1.80%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-26.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2024-1A                                 | CHESAPEAKE FUNDING II LLC CFII 2024 1A A2 144A          | CUSIP: 165183DJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469474 | PA      | $469207.33    | 0.16%             | 2036-05-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                           | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A2 144A    | CUSIP: 55286TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102131 | PA      | $102287.04    | 0.04%             | 2032-02-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -12 | NC      | $-2437.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                        | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                  | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126829 | PA      | $124447.64    | 0.04%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    772373 | PA      | $772622.19    | 0.27%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725419 FN 10/33 FIXED VAR                     | CUSIP: 31402C4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    429939 | PA      | $428750.67    | 0.15%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A       | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203469 | PA      | $204704.12    | 0.07%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST              | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575       | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    857902 | PA      | $841576.30    | 0.29%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA         | CUSIP: 44891ACX3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1013952.52   | 0.35%             | 2027-03-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR          | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8716 | PA      | $8939.95      | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABFA9 PIMCO SWAPTION 3.507 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-31.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2871 FN 01/32 FIXED 3                       | CUSIP: 31418CFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    313311 | PA      | $305903.15    | 0.11%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                            | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201116 | PA      | $199758.19    | 0.07%             | 2032-08-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84 | PA      | $88.36        | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A     | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9568 | PA      | $9238.53      | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1999-1                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A           | CUSIP: 86358HGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19050 | PA      | $18591.48     | 0.01%             | 2029-06-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2           | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4608 | PA      | $4581.62      | 0.00%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ              | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA          | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217247 | PA      | $217742.66    | 0.08%             | 2066-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-187847.01   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2864 G2 06/30 FIXED 3                    | CUSIP: 36179RFD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48640 | PA      | $47845.15     | 0.02%             | 2030-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2022-2                                    | CARMAX AUTO OWNER TRUST CARMX 2022 2 A3                 | CUSIP: 14317HAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49014 | PA      | $48985.85     | 0.02%             | 2027-02-16      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAPITAL COMPANY GUAR 02/28 VAR           | CUSIP: 65339KDH0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201771.33    | 0.07%             | 2028-02-04      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                                | FANNIE MAE FNR 2000 34 F                                | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5320 | PA      | $5278.49      | 0.00%             | 2030-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/28 1.8     | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94585.96     | 0.03%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1570.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2015304.08   | 0.70%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  51400000 | PA      | $51400000.00  | 17.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7974.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9244 FN 08/28 FIXED 4.43                    | CUSIP: 3140LLHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $506630.66    | 0.18%             | 2028-08-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABEA0 PIMCO SWAPTION 3.807 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-26.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD          | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    486774 | PA      | $495415.84    | 0.17%             | 2072-11-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 654952 FN 07/42 FLOATING VAR                  | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15194 | PA      | $15162.33     | 0.01%             | 2042-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q58083 FG 08/48 FIXED 4               | CUSIP: 3132Y16V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    470148 | PA      | $452546.61    | 0.16%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                 | MARS INC SR UNSECURED 144A 03/27 4.45                   | CUSIP: 571676AW5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201523.49    | 0.07%             | 2027-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF          | CUSIP: 38382YV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    493303 | PA      | $492720.29    | 0.17%             | 2072-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FA                                 | CUSIP: 3137HMGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    490122 | PA      | $492012.69    | 0.17%             | 2055-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4678                                           | FREDDIE MAC FHR 4678 AF                                 | CUSIP: 3137BWWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    238448 | PA      | $236414.28    | 0.08%             | 2042-12-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1       | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1206 | PA      | $1066.57      | 0.00%             | 2036-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008717 G2 10/25 FLOATING VAR               | CUSIP: 36202KVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.88         | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J32373 FG 05/29 FIXED 3               | CUSIP: 31307NT61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25650 | PA      | $25362.73     | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    157232 | PA      | $152596.21    | 0.05%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8237 FR 08/52 FIXED 4               | CUSIP: 3132DWEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7674624 | PA      | $7257615.87   | 2.53%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC SR UNSECURED 04/28 4.125         | CUSIP: 718172DR7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    600000 | PA      | $601248.37    | 0.21%             | 2028-04-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/26 0.8                             | CUSIP: 3134GW6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   2600000 | PA      | $2520762.66   | 0.88%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1045 FN 04/27 FIXED 3                       | CUSIP: 31418AET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5170 | PA      | $5118.94      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797RZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7500000 | PA      | $7428027.15   | 2.59%             | 2025-12-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5568                                           | FREDDIE MAC FHR 5568 FE                                 | CUSIP: 3137HMN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    738558 | PA      | $742559.47    | 0.26%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6               | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    775763 | PA      | $806395.71    | 0.28%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -220 | NC      | $-242221.60   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q029 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q029 A              | CUSIP: 3137HHH38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    339849 | PA      | $339829.01    | 0.12%             | 2027-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2002-HE1                          | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1        | CUSIP: 04541GCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13123 | PA      | $14196.41     | 0.00%             | 2032-03-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 679708 FN 09/41 FLOATING VAR                  | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48347 | PA      | $48683.60     | 0.02%             | 2041-09-01      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-81.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                      | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737239 | PA      | $612234.74    | 0.21%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-24.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5345                                           | FREDDIE MAC FHR 5345 A                                  | CUSIP: 3137HAQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    235267 | PA      | $235305.09    | 0.08%             | 2047-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A2 144A        | CUSIP: 30336CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162845 | PA      | $163249.64    | 0.06%             | 2027-11-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-21                                                | FANNIE MAE FNR 2003 21 OG                               | CUSIP: 31392JW96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       868 | PA      | $860.73       | 0.00%             | 2033-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA          | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75417 | PA      | $75628.18     | 0.03%             | 2066-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -300000 | NC      | $-72.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL          | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42051 | PA      | $42051.61     | 0.01%             | 2065-06-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890541 FN 06/28 FIXED VAR                     | CUSIP: 31410LLW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73659 | PA      | $72427.12     | 0.03%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                     | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1069611.51   | 0.37%             | 2043-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93838 | PA      | $35726.04     | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF          | CUSIP: 38382YC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    591327 | PA      | $602292.77    | 0.21%             | 2072-11-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-73.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735813 FN 07/35 FLOATING VAR                  | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2386 | PA      | $2433.98      | 0.00%             | 2035-07-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F           | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    143288 | PA      | $143680.97    | 0.05%             | 2066-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3242 FN 04/52 FIXED 3                       | CUSIP: 3140QNS86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1410341 | PA      | $1241267.20   | 0.43%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23100 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5739.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-1179.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5386 FN 04/52 FIXED 3                       | CUSIP: 3140MJ6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1445171 | PA      | $1272574.38   | 0.44%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1784.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $504814.69    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559824 FN 08/30 FLOATING VAR                  | CUSIP: 31386C4H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21724 | PA      | $21785.87     | 0.01%             | 2030-08-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.79500 08/06/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1434.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7685.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| READYCAP COMMERCIAL MORTGAGE TRUST 2021-FL7                       | READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL7 A 144A     | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172044 | PA      | $172062.13    | 0.06%             | 2036-11-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1078 | NC      | $94407.11     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FD          | CUSIP: 38382Y5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    753899 | PA      | $762838.45    | 0.27%             | 2073-05-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2024-1A                                 | CHESAPEAKE FUNDING II LLC CFII 2024 1A A1 144A          | CUSIP: 165183DE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469474 | PA      | $475535.84    | 0.17%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17884 FG 01/27 FIXED 3               | CUSIP: 3128PXXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5438 | PA      | $5390.80      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1 | FHLMC MULTIFAMILY STRUCTURED P FHMS KBX1 A2             | CUSIP: 3137F4CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58809 | PA      | $58460.17     | 0.02%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1447 FN 07/47 FIXED VAR                     | CUSIP: 3140J5TD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1822565 | PA      | $1705379.76   | 0.59%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $-668.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                  | ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A            | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314806 | PA      | $1275016.00   | 0.44%             | 2032-02-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                                | BX TRUST BX 2022 FOX2 A2 144A                           | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292894 | PA      | $292531.32    | 0.10%             | 2039-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $546.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/26 3.625                             | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40200000 | PA      | $40147331.17  | 14.01%            | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ8540 FN 01/27 FIXED 3                       | CUSIP: 3138E1P27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14877 | PA      | $14734.88     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/5.00000 10/15/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34632.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB6965 FN 11/27 FIXED 2.5                     | CUSIP: 31417DW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121600 | PA      | $119873.10    | 0.04%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q58074 FG 08/48 FIXED 4               | CUSIP: 3132Y16L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    399126 | PA      | $384413.67    | 0.13%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8791 FR 08/53 FIXED 5               | CUSIP: 3133C9XU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    875676 | PA      | $870088.09    | 0.30%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13600000 | PA      | $13891998.66  | 4.85%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3029 FN 06/32 FIXED 3                       | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    468291 | PA      | $456891.66    | 0.16%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                          | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A     | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $893658.24    | 0.31%             | 2034-09-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89900 03/11/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3804.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.75000 11/04/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11616.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888078 FN 05/34 FIXED VAR                     | CUSIP: 31410FUB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74688 | PA      | $74480.07     | 0.03%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                   | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A             | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    589337 | PA      | $508464.28    | 0.18%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2021 2400 A 144A               | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739870 | PA      | $730330.89    | 0.25%             | 2038-12-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804850 FN 01/35 FLOATING VAR                  | CUSIP: 31406BEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11862 | PA      | $12040.51     | 0.00%             | 2035-01-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2A                 | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 2A A2 144A    | CUSIP: 78397XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99205 | PA      | $99321.63     | 0.03%             | 2027-10-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A       | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21827 | PA      | $21108.53     | 0.01%             | 2045-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 749040 FN 10/33 FIXED 4.5                     | CUSIP: 31403HEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10543 | PA      | $10504.16     | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2807.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  18700000 | NC      | $16573.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A2          | CUSIP: 802919AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44297 | PA      | $44316.96     | 0.02%             | 2027-07-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 332                                            | FREDDIEMAC STRIP FHS 332 V1                             | CUSIP: 3132HUCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    195172 | PA      | $204582.34    | 0.07%             | 2044-08-15      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1942 FN 03/26 FIXED 3.15                    | CUSIP: 3140HTEQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $596595.40    | 0.21%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-8                                               | IMPAC CMB TRUST IMM 2005 8 2A                           | CUSIP: 45254NRT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217037 | PA      | $208398.45    | 0.07%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5376 FN 04/52 FIXED 3                       | CUSIP: 3140MJ6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5499099 | PA      | $4840415.85   | 1.69%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC          | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1025194 | PA      | $1041188.73   | 0.36%             | 2073-05-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2          | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39884 | PA      | $38096.50     | 0.01%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM)                 | IBM CORP SR UNSECURED 02/28 4.65                        | CUSIP: 459200LF6<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608731.49    | 0.21%             | 2028-02-10      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835058 FN 06/35 FLOATING VAR                  | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46130 | PA      | $47010.31     | 0.02%             | 2035-06-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2717719 | PA      | $2732008.63   | 0.95%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A    | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820386 | PA      | $706815.08    | 0.25%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A      | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495151 | PA      | $509175.92    | 0.18%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2023-A2                             | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A           | CUSIP: 87166PAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1018809.80   | 0.36%             | 2029-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88500 07/12/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2112.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB1240 FR 12/32 FIXED 2.5             | CUSIP: 3132CXLV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    376801 | PA      | $364923.46    | 0.13%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1              | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68438 | PA      | $19337.60     | 0.01%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H18 FB          | CUSIP: 38376R6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    819148 | PA      | $832136.13    | 0.29%             | 2067-09-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3278 FN 04/52 FIXED 3                       | CUSIP: 3140QNUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1377866 | PA      | $1212762.87   | 0.42%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2645 G2 03/30 FIXED 3                    | CUSIP: 36179Q5E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39539 | PA      | $38875.08     | 0.01%             | 2030-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2797 G2 05/30 FIXED 3                    | CUSIP: 36179RDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26403 | PA      | $25970.46     | 0.01%             | 2030-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/26 VAR            | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    700000 | PA      | $701720.51    | 0.24%             | 2026-07-16      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457314 | PA      | $447592.57    | 0.16%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5505                                           | FREDDIE MAC FHR 5505 AF                                 | CUSIP: 3137HJ6H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    418162 | PA      | $412088.86    | 0.14%             | 2050-03-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5073 | PA      | $4768.28      | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE          | CUSIP: 38375UWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    324451 | PA      | $325458.09    | 0.11%             | 2066-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55100 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $879.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   8700000 | PA      | $8700000.00   | 3.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                           | FREDDIE MAC FHR 5511 FB                                 | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    423792 | PA      | $427247.53    | 0.15%             | 2055-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-393.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB          | CUSIP: 38376RTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    251834 | PA      | $252742.47    | 0.09%             | 2066-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8124.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05   | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    400000 | PA      | $405294.02    | 0.14%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    455342 | PA      | $456120.27    | 0.16%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3277 FN 04/52 FIXED 3                       | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1265888 | PA      | $1114880.99   | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $320.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 04/29 VAR            | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203836.55    | 0.07%             | 2029-04-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A11 144A         | CUSIP: 67114KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772774 | PA      | $721437.97    | 0.25%             | 2051-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0384 FN 09/47 FIXED 3.5                     | CUSIP: 3140Q7NA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1153197 | PA      | $1067260.19   | 0.37%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 04/26 4.875                             | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1911241.81   | 0.67%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5442                                           | FREDDIE MAC FHR 5442 FB                                 | CUSIP: 3137HF4U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    561992 | PA      | $564642.11    | 0.20%             | 2054-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                         | FANNIE MAE FNR 2024 38 FA                               | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    360527 | PA      | $361350.89    | 0.13%             | 2051-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24800 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2738.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                  | NIAGARA MOHAWK POWER SR UNSECURED 144A 12/28 4.278      | CUSIP: 65364UAL0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1101162.52   | 0.38%             | 2028-12-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7378.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4733 FN 06/53 FIXED 5                       | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    384836 | PA      | $382739.35    | 0.13%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                  | FREDDIE MAC FHR 3891 BF                                 | CUSIP: 3137ADTZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    215940 | PA      | $214823.08    | 0.07%             | 2041-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                           | FREDDIE MAC FHR 5426 CF                                 | CUSIP: 3137HCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    295611 | PA      | $294626.99    | 0.10%             | 2050-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                            | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10533 | PA      | $4795.93      | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.53200 08/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $410.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   3857458 | PA      | $37845517.88  | 13.20%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                           | FREDDIE MAC FHR 5557 FM                                 | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    483699 | PA      | $484921.59    | 0.17%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8730 | PA      | $8842.49      | 0.00%             | 2035-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H                   | 38381P996                                               | CUSIP: 990AAVQK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1750000 | PA      | $1748906.25   | 0.61%             | 2065-07-20      | Floating      | 5.16%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.51400 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $707.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2894 FN 02/52 FIXED 3                       | CUSIP: 3140QNGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1950814 | PA      | $1719675.37   | 0.60%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45846 | PA      | $47773.34     | 0.02%             | 2034-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3378.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 FA                               | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    773306 | PA      | $781075.61    | 0.27%             | 2054-12-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FB          | CUSIP: 38375UUZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    294545 | PA      | $294693.39    | 0.10%             | 2065-03-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A   | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $445500.00    | 0.16%             | 2036-12-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1649.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 FE                                 | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    445753 | PA      | $443815.79    | 0.15%             | 2055-03-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                     | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A9 144A     | CUSIP: 918307AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771886 | PA      | $721262.16    | 0.25%             | 2051-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 05/29 VAR             | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607546.69    | 0.21%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADXA5 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-21.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13700 | PA      | $13563.63     | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4040                                           | FREDDIE MAC FHR 4040 PO                                 | CUSIP: 3137AQ7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30740 | PA      | $28259.38     | 0.01%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0694 FN 11/47 FIXED 3.5                     | CUSIP: 3140Q7XY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1384733 | PA      | $1280395.62   | 0.45%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3777.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-24                                         | FANNIE MAE FNR 2025 24 FB                               | CUSIP: 3136BVSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    471539 | PA      | $472291.56    | 0.16%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                    | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                 | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6028 | PA      | $2790.17      | 0.00%             | 2037-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX              | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $865042.29    | 0.30%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAI6A4 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $88.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5548 FN 05/38 FLOATING VAR                  | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73102 | PA      | $75900.83     | 0.03%             | 2038-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    100000 | PA      | $100000.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FD          | CUSIP: 38375UVD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    454273 | PA      | $454393.26    | 0.16%             | 2065-03-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691881 | PA      | $598706.96    | 0.21%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-69                                         | FANNIE MAE FNR 2025 69 FB                               | CUSIP: 3136BWC38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2717030 | PA      | $2731313.64   | 0.95%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                    | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21779 | PA      | $20998.80     | 0.01%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                             | CRSNT TRUST CRSNT 2021 MOON A 144A                      | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1291435.47   | 0.45%             | 2036-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735733 FN 10/33 FIXED VAR                     | CUSIP: 31402RLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    127013 | PA      | $126523.29    | 0.04%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FA          | CUSIP: 38382YN82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    487795 | PA      | $488980.23    | 0.17%             | 2073-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FH          | CUSIP: 38380QGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1142123 | PA      | $1162314.52   | 0.41%             | 2070-08-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2019-1               | WELLS FARGO MORTGAGE BACKED SE WFMBS 2019 1 A1 144A     | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477682 | PA      | $456462.69    | 0.16%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1400000.00   | 0.49%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85277 | PA      | $79938.00     | 0.03%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                 | BDS LTD BDS 2022 FL11 ATS 144A                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    993729 | PA      | $995611.02    | 0.35%             | 2039-03-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                   | TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/26 4.55        | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301691.03    | 0.11%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/5.00000 07/10/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $207275.89    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL0449 FN 12/25 FIXED 3.59                    | CUSIP: 3140HRQB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $597963.53    | 0.21%             | 2025-12-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        29 | NC      | $-5919.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS RIALTO 2022-FL4                                                | FS RIALTO ISSUER LTD FSRIA 2022 FL4 A 144A              | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    368733 | PA      | $368730.80    | 0.13%             | 2039-01-19      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FC                                 | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94215 | PA      | $94406.26     | 0.03%             | 2037-05-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4779                                           | FREDDIE MAC FHR 4779 WF                                 | CUSIP: 3137F4BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    185335 | PA      | $182314.65    | 0.06%             | 2044-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA SR UNSECURED 11/27 VAR                      | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302399.21    | 0.11%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                            | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A      | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    793301 | PA      | $781726.34    | 0.27%             | 2036-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9328.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                | AMERICAN HONDA FINANCE SR UNSECURED 08/27 VAR           | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    600000 | PA      | $601248.15    | 0.21%             | 2027-08-13      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A    | CUSIP: 14686TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450961 | PA      | $452762.62    | 0.16%             | 2028-04-10      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39701 | PA      | $19655.54     | 0.01%             | 2036-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4068 | PA      | $3872.91      | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2019 521F A 144A               | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $871537.50    | 0.30%             | 2034-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/25 0.65                            | CUSIP: 3134GW5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   4400000 | PA      | $4389487.30   | 1.53%             | 2025-10-27      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7216 FR 07/53 FIXED 5               | CUSIP: 3133C8AR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2649861 | PA      | $2642063.59   | 0.92%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $179438.82    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                 | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A           | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $894833.19    | 0.31%             | 2032-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2711125 | PA      | $2628548.90   | 0.92%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1086.39     | -0.00%            |  |  |  | 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        |   1556520 | PA      | $1473744.00   | 0.51%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA2264 FR 05/32 FIXED 3.5             | CUSIP: 31329KQR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    189798 | PA      | $186532.60    | 0.07%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7637 FN 09/35 FIXED VAR                     | CUSIP: 3140XPPX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    321276 | PA      | $317766.47    | 0.11%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                  | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    807692 | PA      | $799456.43    | 0.28%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -4300000 | PA      | $-4265133.58  | -1.49%            | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2023-1         | FREDDIE MAC   SLST SLST 2023 1 A11 144A                 | CUSIP: 35564CNN3<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     91836 | PA      | $91817.83     | 0.03%             | 2033-10-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $758386.89    | 0.26%             | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 2A1A       | CUSIP: 92925CCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115690 | PA      | $111178.79    | 0.04%             | 2046-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                           | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    415945 | PA      | $417586.20    | 0.15%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                               | WELLS FARGO BANK NA WELLS FARGO BANK NA                 | CUSIP: 94988J6F9<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    800000 | PA      | $811761.97    | 0.28%             | 2026-12-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                      | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23570 | PA      | $23683.44     | 0.01%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-REV1                            | FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A      | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509205.35    | 0.18%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 065583 FN 09/28 FLOATING VAR                  | CUSIP: 31362M2Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2717 | PA      | $2688.31      | 0.00%             | 2028-09-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1507.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 DF          | CUSIP: 38380LA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    492700 | PA      | $494758.05    | 0.17%             | 2069-09-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1449 FN 05/28 FIXED 3                       | CUSIP: 31418ATF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17858 | PA      | $17645.88     | 0.01%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1859.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 ED                               | CUSIP: 3136BTYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    424075 | PA      | $396767.89    | 0.14%             | 2046-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2022-1A                                | LAD AUTO RECEIVABLES TRUST LADAR 2022 1A A 144A         | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10041 | PA      | $10043.38     | 0.00%             | 2027-06-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 03/28 4.75       | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    450000 | PA      | $456714.30    | 0.16%             | 2028-03-31      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60807 | PA      | $58303.17     | 0.02%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                              | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758948 | PA      | $759538.50    | 0.26%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 736222 FN 08/33 FIXED 4.5                     | CUSIP: 31402R4F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35073 | PA      | $35212.90     | 0.01%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA          | CUSIP: 38382Y5K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    930868 | PA      | $940999.80    | 0.33%             | 2073-05-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA          | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    290030 | PA      | $291600.98    | 0.10%             | 2073-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3367.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2022-C15                                              | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2022 C15 A5        | CUSIP: 05552FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1582181.84   | 0.55%             | 2055-04-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080076 G2 05/27 FLOATING VAR               | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2173 | PA      | $2177.29      | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95   | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504376.60    | 0.18%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75         | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507445.58    | 0.18%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24200000 | PA      | $23986759.28  | 8.37%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A2B        | CUSIP: 86359LGG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214416 | PA      | $210699.38    | 0.07%             | 2035-05-19      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $397.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-93.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8838 FN 08/48 FIXED 4                       | CUSIP: 3140HNZC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    280260 | PA      | $270952.59    | 0.09%             | 2048-08-01      | Fixed         | 4.00%                 | 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        |     73302 | PA      | $70698.53     | 0.02%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121724 | PA      | $117022.36    | 0.04%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       334 | NC      | $32226.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/27 4.875   | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302692.69    | 0.11%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE          | CUSIP: 38383KDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    773820 | PA      | $777921.57    | 0.27%             | 2073-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                         | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    462568 | PA      | $464449.24    | 0.16%             | 2055-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-170115.12   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF          | CUSIP: 38382YAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    489610 | PA      | $501117.15    | 0.17%             | 2071-08-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                      | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A       | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628184 | PA      | $620982.18    | 0.22%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL3670 FN 10/26 FIXED 2.08                    | CUSIP: 3140HVCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $196339.15    | 0.07%             | 2026-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21211 | PA      | $21519.08     | 0.01%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $-1285.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1487.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                              | STONEPEAK SALTT 2021 1A AA 144A                         | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299058 | PA      | $289135.46    | 0.10%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL SECURED 144A 07/26 VAR           | CUSIP: 743672AG2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400305.06    | 0.14%             | 2026-07-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-667.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457314 | PA      | $461954.00    | 0.16%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1991.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3968 FN 12/26 FIXED 3                       | CUSIP: 31417AMS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95648 | PA      | $94877.48     | 0.03%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A        | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267023 | PA      | $268225.86    | 0.09%             | 2040-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    800000 | PA      | $818793.81    | 0.29%             | 2028-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5200000 | PA      | $-4750107.08  | -1.66%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4354.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-115                                        | FANNIE MAE FNR 2009 115 SB                              | CUSIP: 31398GMG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    503992 | PA      | $50920.33     | 0.02%             | 2040-01-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080426 G2 07/30 FLOATING VAR               | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8781 | PA      | $8815.87      | 0.00%             | 2030-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                               | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1             | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    227257 | PA      | $236524.50    | 0.08%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1786.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77975 | PA      | $16670.32     | 0.01%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35             | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    900000 | PA      | $903614.68    | 0.32%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 08/28 5.05         | CUSIP: 05565ECE3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    400000 | PA      | $409817.22    | 0.14%             | 2028-08-11      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17349 | PA      | $17085.56     | 0.01%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT7754 FN 06/28 FIXED 3                       | CUSIP: 3138WVTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22836 | PA      | $22483.97     | 0.01%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1219.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5703 | PA      | $5449.92      | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -12 | NC      | $-1651.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256143 FN 01/36 FIXED 4.5                     | CUSIP: 31371MP43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119417 | PA      | $118942.90    | 0.04%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008710 G2 10/25 FLOATING VAR               | CUSIP: 36202KVB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.39        | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3309                                                  | FREDDIE MAC FHR 3309 SC                                 | CUSIP: 31397GEP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    441486 | PA      | $48175.57     | 0.02%             | 2037-04-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5569                                           | FREDDIE MAC FHR 5569 FB                                 | CUSIP: 3137HMMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2671158 | PA      | $2676421.38   | 0.93%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-42.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                               | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A       | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91102.63     | 0.03%             | 2038-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $689.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  16100000 | NC      | $14269.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17164 | PA      | $16468.02     | 0.01%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3900000 | PA      | $-3675213.59  | -1.28%            | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 09/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1438.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3910.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -15100000 | PA      | $-13266146.37 | -4.63%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/25 0.65                            | CUSIP: 3134GWZV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   6200000 | PA      | $6187777.94   | 2.16%             | 2025-10-22      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080060 G2 04/27 FLOATING VAR               | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3519 | PA      | $3524.89      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR              | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1004070.80   | 0.35%             | 2027-09-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN          | CUSIP: 38376R5Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225765 | PA      | $225883.64    | 0.08%             | 2067-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer