# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007185
**Filing Date:** 2026-5
**Character Count:** 519508
**Document Hash:** f70e973b5388878a788b6f42f0741956
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007185.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007185

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**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:** 261043342

**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 Moderate Duration Fund (Series ID: S000009694)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026586 | Institutional | PMDRX           |
| C000085176 | I-2           | PMOPX           |

## 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 Moderate Duration Fund

- **b. EDGAR series identifier (if any):** S000009694

- **c. LEI of Series:** B2JY4NU9RPQLDEI8V482

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

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

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $2783058009.55

**Total Liabilities:** $1025149564.76

**Net Assets:** $1757908444.79

**Delayed Delivery Securities:** $1155850.22

**Cash Not Reported:** $18739253.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 93621.457300 | **1-Year:** 56654.795200 | **5-Year:** 320384.250900 | **10-Year:** 76474.937400 | **30-Year:** -18206.837900

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

- **3-Month:** 7968.910000 | **1-Year:** 3958.848300 | **5-Year:** 26863.149500 | **10-Year:** 7032.984100 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000085176 | 0.30%                | 1.16%                | -1.94%               |
| Class ID C000026586 | 0.31%                | 1.17%                | -1.93%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $357735.46               | $2153037.66                                |
| Month 2  | $1411325.35              | $24991001.03                               |
| Month 3  | $503403.23               | $-50318449.32                              |

**Designated Index Information**

- **Index Name:** Bloomberg Inter US Government/Credit Total Return Unhedged Index

- **Index Identifier:** LF97TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889977 FN 10/38 FIXED VAR                     | CUSIP: 31410KXE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8863 | PA      | $9151.20      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                               | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A             | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1963987.66   | 0.11%             | 2038-01-22      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-231441.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTATE LINE COMPANY                              | TRANS ALLEGHENY INTERSTA SR UNSECURED 144A 01/31 5      | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2032591.12   | 0.12%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.70000 06/24/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $46038.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR            | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $3008615.96   | 0.17%             | 2027-02-23      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1084.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/28 2.875                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19700000 | PA      | $19287531.25  | 1.10%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-21029.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-11879.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA 144A 01/32 VAR                                  | CUSIP: 05571ABE4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1900000 | PA      | $1874490.73   | 0.11%             | 2032-01-13      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                       | REPUBLIC OF COLOMBIA SR UNSECURED 01/31 6.125           | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     300000 | PA      | $295500.00    | 0.02%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4081.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREMONT RE LTD                                                       | TREMONT RE LTD UNSECURED 144A 03/33 VAR                 | CUSIP: 89479VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00    | 0.01%             | 2033-03-22      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/1.75000 12/21/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10925799.19  | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-14541.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTRALOT CAPITAL LUXEMBOURG SA                                       | INTRALOT CAPITAL LUX SR SECURED 144A 10/31 VAR          | CUSIP: ACI30MW05<br>LEI: 549300QF747C7UWZYB38 | Long             | DBT              | CORP              | LU        |    1300000 | PA      | $1439430.41   | 0.08%             | 2031-10-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14600000 | PA      | $10719023.47  | 0.61%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                                  | SOUTHWESTERN ELEC POWER SR UNSECURED 04/36 5.2          | CUSIP: 845437BV3<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |     900000 | PA      | $885355.66    | 0.05%             | 2036-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $78284.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                          | LETRA TESOURO NACIONAL BILLS 10/26 0.00000              | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  162500000 | PA      | $29389840.32  | 1.67%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                         | WP CAREY INC SR UNSECURED 10/31 3.25                    | CUSIP: ACI38K1G0<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     500000 | PA      | $558213.38    | 0.03%             | 2031-10-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $4221.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $34286.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                    | AMCOR FLEXIBLES NORTH AM COMPANY GUAR 03/28 4.8         | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1610643.15   | 0.09%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                                 | GROSVENOR PLACE CLO BV GROSV 2025 4A A 144A             | CUSIP: ACI379GR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1964897.23   | 0.11%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        179 | NC      | $-468534.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.80000 06/03/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-168107.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $27247.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                  | GLOBAL PAYMENTS INC SR UNSECURED 11/28 4.5              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1188653.63   | 0.07%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BW8846 FN 09/52 FIXED 4                       | CUSIP: 3140N1ZL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76181 | PA      | $72132.11     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68273 | PA      | $71658.09     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $15875.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.50000 06/17/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $417814.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.95561 02/11/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $319223.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVOLEX (CLYDESDALE ACQUISITION HOLDINGS INC)                        | CLYDESDALE ACQUISITION SR SECURED 144A 04/32 6.75       | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     550000 | PA      | $521033.49    | 0.03%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                         | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                 | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1401709.08   | 0.08%             | 2034-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-7616.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $8877.75      | 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      | $-3414.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-11888.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                     | SOCIETE GENERALE 144A 04/30 VAR                         | CUSIP: 83368RCL4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1200000 | PA      | $1188347.41   | 0.07%             | 2030-04-12      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2021-A                                | MARINER FINANCE ISSUANCE TRUST MFIT 2021 AA A 144A      | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3919549 | PA      | $3875108.60   | 0.22%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                | PROJECT HUDSON II FIXED TERM LOAN                       | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $702471.46    | 0.04%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 003229 G2 04/32 FIXED 7                    | CUSIP: 36202DSS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $385.55       | 0.00%             | 2032-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BW1462 FN 06/52 FIXED 4                       | CUSIP: 3140MSTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     556409 | PA      | $528058.38    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6466.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                  | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A      | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $998750.07    | 0.06%             | 2035-01-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-277665.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.55000 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $39931.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0908 FN 11/31 FIXED 4                       | CUSIP: 31418AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1218 | PA      | $1208.85      | 0.00%             | 2031-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                             | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20222318 | PA      | $922958.71    | 0.05%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                           | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  204000000 | PA      | $997370.47    | 0.06%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 775474 FN 05/34 FIXED 5.5                     | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2761 | PA      | $2839.89      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                          | PIMCO MORTGAGE BACKED SECURITI PIMCO MBS ACTIVE ETF     | CUSIP: 72201R569<br>LEI: 2549001WTPP9QU7A6W04 | Long             | EC               | RF                | US        |    2074954 | NS      | $102917718.40 | 5.85%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICA GOVT                                                    | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   25900000 | PA      | $1430639.70   | 0.08%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G02366 FG 10/36 FIXED 6.5             | CUSIP: 3128LXTX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4015 | PA      | $4249.07      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 03/30 3.625                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10400000 | PA      | $10294171.89  | 0.59%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                          | CANADIAN GOVERNMENT BONDS 12/34 3.25                    | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5100000 | PA      | $3628410.19   | 0.21%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-11615.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | EURO-OAT FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -156 | NC      | $677758.67    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.50000 06/24/25-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1070550.60   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-68385.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                 | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5978001.84   | 0.34%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 003586 G2 07/34 FIXED 6.5                  | CUSIP: 36202D6X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1406 | PA      | $1481.66      | 0.00%             | 2034-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04618 FG 07/33 FIXED 6               | CUSIP: 3128M6PB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3007 | PA      | $3119.45      | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                  | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 3.83          | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1437624.76   | 0.08%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $16652.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                       | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      41414 | PA      | $54750.51     | 0.00%             | 2044-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AD0649 FN 08/38 FIXED VAR                     | CUSIP: 31418MWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117718 | PA      | $121540.17    | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                | RESLOC UK PLC RLOC 2007 1X A3B REGS                     | CUSIP: B1XCHCII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     480523 | PA      | $621779.22    | 0.04%             | 2043-12-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7301.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                 | EDISON INTERNATIONAL SR UNSECURED 03/32 5.25            | CUSIP: 281020BB2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297191.18    | 0.02%             | 2032-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $61.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1137.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1577.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                           | PROJ ALFA 3 TERM LOAN                                   | CUSIP: BA000RG42<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | US        |     323566 | PA      | $323566.21    | 0.02%             | 2026-10-21      | Floating      | 5.74%                 | Yes           |                  3 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 03/32 VAR                   | CUSIP: 61747YGB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3179147.65   | 0.18%             | 2032-03-12      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 797491 FN 03/35 FIXED 5.5                     | CUSIP: 31405R7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293537 | PA      | $302793.94    | 0.02%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7662.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                      | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1              | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538751 | PA      | $449017.26    | 0.03%             | 2035-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX6175 FN 02/53 FIXED 5                       | CUSIP: 3140NA2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     434644 | PA      | $431389.36    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                           | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                   | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  326000000 | PA      | $1815169.15   | 0.10%             | 2045-03-20      | Fixed         | 2.40%                 | 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      | $42790.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $10166.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2073500 | PA      | $-2073715.99  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4             | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A    | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1373291 | PA      | $1376621.34   | 0.08%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| EQUINIX ASIA FINANCING CORPORATION PTE LTD                           | EQUINIX ASIA FIN CORP COMPANY GUAR 03/31 4.4            | CUSIP: 29447KAA3<br>LEI: 2549002E9B0F5FQ3X427 | Long             | DBT              | CORP              | SG        |    2200000 | PA      | $2154506.79   | 0.12%             | 2031-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/34 4                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7800000 | PA      | $7695187.50   | 0.44%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $582.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.52500 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $84948.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/4.08000 06/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-50263.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1617.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS EUR 2.65000 08/14/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-20988.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX3263 FN 02/53 FIXED 4                       | CUSIP: 3140N7TV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2030684 | PA      | $1925378.98   | 0.11%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.25000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $623549.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PEN BOUGHT USD 20260708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $53427.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G02461 FG 11/36 FIXED 6.5             | CUSIP: 3128M4B69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2522 | PA      | $2675.15      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | 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        |      10164 | PA      | $10159.35     | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 759360 FN 01/34 FIXED 5.5                     | CUSIP: 31403VTR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9568 | PA      | $9670.34      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $16291.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $403.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                  | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31150 | PA      | $29955.15     | 0.00%             | 2036-02-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                             | WOODSIDE FINANCE LTD COMPANY GUAR 09/34 5.1             | CUSIP: 980236AR4<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    1000000 | PA      | $984701.48    | 0.06%             | 2034-09-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $15107.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-8                                      | ANGEL OAK MORTGAGE TRUST AOMT 2021 8 A1 144A            | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2020476 | PA      | $1810449.28   | 0.10%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                          | NATIONAL FOOTBALL LEAGUE 5YR JUL SR SEC                 | CUSIP: 958BJWII0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $995757.73    | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60806 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $36742.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.71500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21570.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-4                                              | MORTGAGEIT TRUST MHL 2005 4 A1                          | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50146 | PA      | $50401.37     | 0.00%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $29391.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.67000 01/08/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20995.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                  | NATWEST MARKETS PLC SR UNSECURED 144A 03/28 4.789       | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $1812502.21   | 0.10%             | 2028-03-21      | Fixed         | 4.79%                 | 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        |     687219 | PA      | $676790.11    | 0.04%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AE0517 FN 11/35 FIXED VAR                     | CUSIP: 31419ASF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13441 | PA      | $13859.08     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-8806.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-79153.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $24419809.44  | 1.39%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BY4760 FN 07/53 FIXED 5.5                     | CUSIP: 3140NMJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     857343 | PA      | $865034.41    | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $156650.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-29184.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-14156.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 805516 FN 03/35 FIXED 5.5                     | CUSIP: 31406B3Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31316 | PA      | $31485.87     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 02/29 VAR                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2648000 | PA      | $2677879.85   | 0.15%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 985615 FN 04/34 FIXED 5.5                     | CUSIP: 31415P3Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4498 | PA      | $4590.55      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 596796 GN 12/32 FIXED 7                       | CUSIP: 36200B7H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $190.46       | 0.00%             | 2032-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                  | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR            | CUSIP: 539694AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00    | 0.01%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6627.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-520.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2                          | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA2 1A1       | CUSIP: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1293710 | PA      | $1185858.06   | 0.07%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS CAD CAONREPO/2.9000 03/31/25-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $1520.53      | 0.00%             |  |  |  | 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      | $-3963.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2462.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-2                                        | COUNTRYWIDE HOME LOANS CWHL 2004 2 3A1                  | CUSIP: 12669FKT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225729 | PA      | $226556.83    | 0.01%             | 2034-03-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                       | DATABRICKS INC 2025 1ST AMENDMENT TERM LOAN             | CUSIP: 23803RAE1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    1333908 | PA      | $1327238.00   | 0.08%             | 2032-01-05      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2008-27                                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2008 27 JD           | CUSIP: 38374DTL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10500 | PA      | $10476.03     | 0.00%             | 2037-08-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                     | GOLDEN BEAR RE LTD UNSECURED 144A 03/32 VAR             | CUSIP: 38090EAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00    | 0.01%             | 2032-03-08      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $60899.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QF8523 FR 02/53 FIXED 4               | CUSIP: 3133BWPG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1167810 | PA      | $1105984.30   | 0.06%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $67779.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US LOGISTICS FUND LP                               | PROLOGIS TARGETED US COMPANY GUAR 144A 01/31 4.25       | CUSIP: 74350LAD6<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |     700000 | PA      | $685242.29    | 0.04%             | 2031-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                           | MATTEL INC SR UNSECURED 11/30 5                         | CUSIP: 577081BG6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     350000 | PA      | $347971.51    | 0.02%             | 2030-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5292.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32527 | PA      | $33591.56     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8       | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A   | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2493038 | PA      | $2462809.88   | 0.14%             | 2035-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                           | US BANCORP SR UNSECURED 02/31 VAR                       | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3044530.11   | 0.17%             | 2031-02-12      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                           | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1340000000 | PA      | $7014809.87   | 0.40%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6518.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $27929.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BN8902 FN 05/49 FIXED 3.5                     | CUSIP: 3140JR3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     321268 | PA      | $298341.69    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 2A3          | CUSIP: 12667AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     513239 | PA      | $495979.47    | 0.03%             | 2036-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7800.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QE4039 FR 06/52 FIXED 4               | CUSIP: 3133BDPY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142439 | PA      | $134723.21    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK HAPOALIM LTD                                                    | BANK HAPOALIM SR UNSECURED 144A REGS 07/29 4            | CUSIP: ACI37Y6K7<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |    2400000 | PA      | $2372393.11   | 0.13%             | 2029-07-14      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                                | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR          | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |     250000 | PA      | $254362.50    | 0.01%             | 2029-04-09      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 679640 G2 06/48 FIXED 4                    | CUSIP: 36295TBH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1229082 | PA      | $1158139.00   | 0.07%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-149275.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $111366.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $136445.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-22506.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                  | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ A 144A     | CUSIP: 05523GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1677000.00   | 0.10%             | 2034-08-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2280146 | PA      | $2292221.97   | 0.13%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1825.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2805.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $8556.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C03094 FG 11/37 FIXED 6               | CUSIP: 31292KNK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1230 | PA      | $1292.84      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04595 FG 12/33 FIXED 5.5             | CUSIP: 3128M6NL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15683 | PA      | $15789.91     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOUTH AFRICA EM SP MYC                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $11655.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                               | QUERCUS RE DAC BONDS 144A 01/31 VAR                     | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $298729.49    | 0.02%             | 2031-01-06      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $14470.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-82557.17    | -0.00%            |  |  |  | No            |                  2 | 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        |     482877 | PA      | $465142.71    | 0.03%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-393.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $55959.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -25 | NC      | $-9303.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                   | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2831725 | PA      | $2735269.73   | 0.16%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 252409 FN 03/29 FIXED 6.5                     | CUSIP: 31371HKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.33        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      19000 | PA      | $18894.43     | 0.00%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $10296.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-15154.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBN CO LIMITED                                                       | NBN CO LTD SR UNSECURED 144A 09/30 4.15                 | CUSIP: 62878U2K7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |     600000 | PA      | $592994.18    | 0.03%             | 2030-09-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-899.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7                             | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A7 1A9         | CUSIP: 12566TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     747903 | PA      | $614810.83    | 0.03%             | 2036-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2476.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/55 4.625                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31700000 | PA      | $30242543.05  | 1.72%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $15182.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP   | LADDER CAP FIN LLLP/CORP COMPANY GUAR 08/30 5.5         | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $200503.79    | 0.01%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $12499.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       2004 | NC      | $-3754973.40  | -0.21%            |  |  |  | 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        |    3163083 | PA      | $2746793.82   | 0.16%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US LOGISTICS FUND LP                               | PROLOGIS TARGETED US COMPANY GUAR 144A 03/33 4.625      | CUSIP: 74350LAF1<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |     600000 | PA      | $583732.19    | 0.03%             | 2033-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $3186.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $5844.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                         | UBS GROUP AG SR UNSECURED REGS 08/30 VAR                | CUSIP: H42097AZ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $380532.10    | 0.02%             | 2030-08-13      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $22850.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0072 FN 05/29 FIXED 4                       | CUSIP: 31417YCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $204.65       | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                           | CORP0HRG0 HRDFDG 5.33 06/09/35                          | CUSIP: 957HXRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $605564.53    | 0.03%             | 2035-06-07      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| GPMT LTD 2021-FL4                                                    | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1972526 | PA      | $1970014.97   | 0.11%             | 2036-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                         | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 10/30 4.375  | CUSIP: 147918AF3<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |    1900000 | PA      | $1886187.00   | 0.11%             | 2030-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AE4703 FN 09/30 FIXED 4                       | CUSIP: 31419FGM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10162 | PA      | $10055.33     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                               | WESCO DISTRIBUTION INC COMPANY GUAR 144A 04/31 5.25     | CUSIP: 95081QAT1<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298959.27    | 0.02%             | 2031-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1095.50      | 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        |     306160 | PA      | $318365.86    | 0.02%             | 2038-05-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| ORANGE SA (AKA: FRANCE TELECOM SA)                                   | ORANGE SA SR UNSECURED 144A 01/31 4.25                  | CUSIP: 685218AD1<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    2100000 | PA      | $2060669.88   | 0.12%             | 2031-01-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $113.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918       | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     900000 | PA      | $911747.44    | 0.05%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 909597 FN 02/37 FIXED 5.5                     | CUSIP: 31411JRS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6759 | PA      | $6951.53      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-37539.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-19A LTD                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 19A A 144A     | CUSIP: 03331VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1586041.38   | 0.09%             | 2040-10-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 750548 FN 02/34 FIXED 5.5                     | CUSIP: 31403JZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4765 | PA      | $4795.37      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $127.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0299 FN 01/30 FIXED 4                       | CUSIP: 31417YKM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67286 | PA      | $67053.15     | 0.00%             | 2030-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3158.39     | -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        |    1094885 | PA      | $1072187.07   | 0.06%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER COMPANY                                  | VIRGINIA ELEC + POWER CO SR UNSECURED 03/36 4.95        | CUSIP: 927804GX6<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2633103.45   | 0.15%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 953000 FN 07/37 FIXED 5.5                     | CUSIP: 31413RGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39559 | PA      | $40457.85     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | 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        |      12452 | PA      | $12460.29     | 0.00%             | 2032-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-17646.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -43300000 | PA      | $-36393988.61 | -2.07%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-323118.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA5165 FN 10/53 FIXED 5.5                     | CUSIP: 31418EW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     247926 | PA      | $249893.15    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                 | INTEGRITY RE III UNSECURED 144A 06/28 VAR               | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $259725.00    | 0.01%             | 2028-06-06      | Floating      | 15.76%                | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                 | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     858198 | PA      | $992887.73    | 0.06%             | 2033-08-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 3 MONTH SOFR FUT  SEP27 XCME 20271214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        469 | NC      | $-384453.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $117.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4122000 | PA      | $4192942.18   | 0.24%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                      | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95   | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    1500000 | PA      | $1461556.41   | 0.08%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $17991.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP / GENESIS ENERGY FINANCE CORP                      | GENESIS ENERGY LP/FIN COMPANY GUAR 03/34 6.75           | CUSIP: 37185LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $398384.24    | 0.02%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                    | EVERSOURCE ENERGY SR UNSECURED 12/30 4.45               | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     800000 | PA      | $789438.80    | 0.04%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 995112 FN 07/36 FIXED VAR                     | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22941 | PA      | $23456.27     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.84598 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $100671.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $44694.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-7082.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                             | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     464483 | PA      | $464961.72    | 0.03%             | 2031-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                    | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $196813.16    | 0.01%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 357886 FN 07/35 FIXED 5.5                     | CUSIP: 31376KRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17040 | PA      | $17454.66     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 545888 FN 08/32 FIXED VAR                     | CUSIP: 31385JND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $375.97       | 0.00%             | 2032-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QF7482 FR 02/53 FIXED 5               | CUSIP: 3133BVJ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8820299 | PA      | $8744300.27   | 0.50%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BW1299 FN 11/52 FIXED 4                       | CUSIP: 3140MSNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146721 | PA      | $139033.14    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04625 FG 06/36 FIXED 6               | CUSIP: 3128M6PJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14321 | PA      | $14658.72     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A        | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1155231.84   | 0.07%             | 2036-08-29      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                                | TD SYNNEX CORP SR UNSECURED 01/29 4.3                   | CUSIP: 87162WAM2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1088029.10   | 0.06%             | 2029-01-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $634.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                       | DATABRICKS INC 2025 DELAYED DRAW TERM LOAN              | CUSIP: 23803RAF8<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     312439 | PA      | $310876.81    | 0.02%             | 2032-01-05      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                               | SAMMONS FINANCIAL GLOBAL SR SECURED 144A 12/30 4.8      | CUSIP: 79587J2E2<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2381655.67   | 0.14%             | 2030-12-12      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                          | NATIONAL FOOTBALL LEAGUE 9YR JUL SR SEC                 | CUSIP: 957IHHII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $997762.38    | 0.06%             | 2034-10-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| FAIR OAKS LOAN FUNDING V DAC 5A                                      | FAIR OAKS LOAN FUNDING FOAKS 5A AR 144A                 | CUSIP: ACI384R29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1155200.75   | 0.07%             | 2036-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $35151.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3489.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARGAY CLO II DAC 2A                                                 | MARGAY CLO MARGA 2A AR 144A                             | CUSIP: ACI384PC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1153156.28   | 0.07%             | 2037-07-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 04/28 3.5                               | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32700000 | PA      | $32496902.26  | 1.85%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                   | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45              | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   10100000 | PA      | $7584601.21   | 0.43%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4694125 | PA      | $-4708833.25  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                       | WINSTON RE LTD UNSECURED 144A 02/31 VAR                 | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     700000 | PA      | $730660.00    | 0.04%             | 2031-02-26      | Floating      | 15.21%                | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                            | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3087586 | PA      | $3564580.13   | 0.20%             | 2033-08-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| CORP NACIONAL DEL COBRE DE CHILE CODELCO (CODELCO)                   | CODELCO INC SR UNSECURED 144A 01/35 6.33                | CUSIP: 21987BBL1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     500000 | PA      | $522350.00    | 0.03%             | 2035-01-13      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL 1B3413 FH 05/37 FLOATING VAR          | CUSIP: 3128JNVF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3313 | PA      | $3420.65      | 0.00%             | 2037-05-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1886.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 10/30 4.875                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14700000 | PA      | $15274505.84  | 0.87%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2023-2                            | HONDA AUTO RECEIVABLES OWNER T HAROT 2023 2 A3          | CUSIP: 437927AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1083139 | PA      | $1085932.34   | 0.06%             | 2027-11-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.59900 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $43385.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3953.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $254239.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $8051.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACORE ISSUER, LLC 26-FL1                                             | ACORE ISSUER, LLC ACORE 2026 FL1 A 144A                 | CUSIP: 00485EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3800000 | PA      | $3797670.98   | 0.22%             | 2043-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                                | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A31       | CUSIP: 76111XYF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202639 | PA      | $165067.32    | 0.01%             | 2035-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BW1385 FN 12/52 FIXED 4                       | CUSIP: 3140MSRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     357423 | PA      | $338346.86    | 0.02%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2802.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8403 FR 02/54 FIXED 6.5             | CUSIP: 3132DWKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     959326 | PA      | $992461.72    | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $5802.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS EUR 3.00000 09/16/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $474960.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35230734 | PA      | $35095420.15  | 2.00%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $2835.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4330.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                     | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26358 | PA      | $26326.26     | 0.00%             | 2037-12-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                        | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.625      | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    1506000 | PA      | $1494760.48   | 0.09%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                      | PHILIP MORRIS INTL INC SR UNSECURED 06/32 3.25          | CUSIP: ACI2XLY76<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1910723.08   | 0.11%             | 2032-06-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60000 01/17/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6664.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-44492.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC2 M1         | CUSIP: 75156TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     710123 | PA      | $689525.17    | 0.04%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3088 FN 08/47 FIXED 4                       | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17551 | PA      | $16818.25     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-414.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 003599 G2 08/34 FIXED 6.5                  | CUSIP: 36202D7L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1132 | PA      | $1206.34      | 0.00%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $10637.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-8025.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2044.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                       | FREMONT HOME LOAN TRUST FHLT 2006 2 2A4                 | CUSIP: 35729PPY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $936402.70    | 0.05%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32300000 | PA      | $29312880.82  | 1.67%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST            | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 11/30 4.375       | CUSIP: 00774MBR5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3000000 | PA      | $2949321.60   | 0.17%             | 2030-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-81.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                               | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A     | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1171982 | PA      | $1176549.23   | 0.07%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                             | BROADSTONE NET LEASE LLC COMPANY GUAR 11/32 5           | CUSIP: 11134GAA8<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295223.30    | 0.02%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-23788.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                   | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7         | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     292545 | PA      | $269488.22    | 0.02%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $130482.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28100000 | PA      | $26519600.36  | 1.51%             | 2056-04-13      | 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      | $44533.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G61239 FG 10/47 FIXED 4               | CUSIP: 31335BLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88325 | PA      | $84745.58     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 764388 FN 03/34 FLOATING VAR                  | CUSIP: 31404CF54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2492 | PA      | $2519.71      | 0.00%             | 2034-03-01      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $328.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $12022.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3        | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550008 | PA      | $542783.49    | 0.03%             | 2034-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                         | UBS GROUP AG SR UNSECURED 144A 09/30 VAR                | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1100000 | PA      | $1134288.09   | 0.06%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-157908.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17079.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-28711.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2006-3                                  | MASTR SPECIALIZED LOAN TRUST MASD 2006 3 A 144A         | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171037 | PA      | $166129.87    | 0.01%             | 2046-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-18589.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-3043.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIGHTSPIRE CAPITAL, INC 26-FL3                                      | BRIGHTSPIRE CAPITAL  INC BRSP 2026 FL3 A 144A           | CUSIP: 116686AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $898354.40    | 0.05%             | 2043-08-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                   | SANDERS RE III LTD UNSECURED 144A 04/29 VAR             | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2600000 | PA      | $1690000.00   | 0.10%             | 2029-04-09      | Floating      | 15.86%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 357906 FN 08/35 FIXED 5.5                     | CUSIP: 31376KR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4015 | PA      | $4141.53      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | 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        |      41602 | PA      | $41467.82     | 0.00%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                                   | REGENCY CENTERS LP COMPANY GUAR 03/33 4.5               | CUSIP: 75884RBF9<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |     400000 | PA      | $390204.24    | 0.02%             | 2033-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                  | NOMURA HOLDINGS INC SR UNSECURED 07/30 4.904            | CUSIP: 65535HBZ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $399967.03    | 0.02%             | 2030-07-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                              | HCA INC COMPANY GUAR 04/31 5.45                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1435299.39   | 0.08%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.61100 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37832.05     | 0.00%             |  |  |  | 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        |    2957812 | PA      | $2564993.84   | 0.15%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-18553.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04624 FG 02/33 FIXED 6               | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1802 | PA      | $1861.13      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4950.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2A LTD                               | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 2A A1R 144A   | CUSIP: 69702WAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1298512.72   | 0.07%             | 2033-01-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $925.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-35972.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                    | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875              | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  450300000 | PA      | $26153791.24  | 1.49%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $5295.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3339.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                                  | LRECS 2025 CRE1 LLC LRECS 2025 CRE1 A 144A              | CUSIP: 50230AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2200000 | PA      | $2196178.05   | 0.12%             | 2043-08-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 04/31 5.42        | CUSIP: 345397J61<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1719111.28   | 0.10%             | 2031-04-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $690.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO NOMURA                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2126250 | PA      | $-2135355.08  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $28785.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $9633.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/47 3                                 | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8900000 | PA      | $6633976.52   | 0.38%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-60665.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                         | BROADCOM INC SR UNSECURED 144A 11/35 3.137              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     831000 | PA      | $706366.54    | 0.04%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34005 | PA      | $34771.70     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.85400 12/29/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22907.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                           | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1584131.79   | 0.09%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                             | STATE STREET CORP SR UNSECURED 10/36 VAR                | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1556328.21   | 0.09%             | 2036-10-23      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL BC3794 GN 10/47 FIXED 3.5                     | CUSIP: 3617B7GB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     395525 | PA      | $365487.76    | 0.02%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1293.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                            | HA SUSTAINABLE INF CAP COMPANY GUAR 03/36 6             | CUSIP: 41068XAK6<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |     400000 | PA      | $388370.92    | 0.02%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5914.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                 | JPMORGAN CHASE + CO SR UNSECURED 01/31 VAR              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2037047.30   | 0.12%             | 2031-01-24      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                  | COMMONSPIRIT HEALTH SECURED 09/30 4.352                 | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1478536.20   | 0.08%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                           | ABBVIE INC SR UNSECURED 03/31 4.125                     | CUSIP: 00287YEE5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $985707.33    | 0.06%             | 2031-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1526.35     | -0.00%            |  |  |  | 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      | $-17129.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                          | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     700000 | PA      | $704677.53    | 0.04%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $94238.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/30 4.125                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24300000 | PA      | $24490792.91  | 1.39%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                | GLP CAPITAL LP / FIN II COMPANY GUAR 03/36 5.625        | CUSIP: 361841AX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2628512.64   | 0.15%             | 2036-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 928480 FN 07/37 FIXED 6                       | CUSIP: 31412LQ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1715 | PA      | $1794.62      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORPORATION                                          | PROTECTIVE LIFE CORP SR UNSECURED 144A 01/31 4.7        | CUSIP: 743674BF9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297463.97    | 0.02%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                        | AEP TEXAS INC SR UNSECURED 06/28 3.95                   | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1782688.48   | 0.10%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 763798 FN 03/34 FIXED 5.5                     | CUSIP: 31404BRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1935 | PA      | $1956.15      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFE FIBRA E                                                          | CFE FIBRA E SR UNSECURED 144A 09/40 5.875               | CUSIP: 125276AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     887219 | PA      | $863982.83    | 0.05%             | 2040-09-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGOR INC              | BAKER HUGHES LLC/CO OBL COMPANY GUAR 03/34 3.812        | CUSIP: ACI38VDT5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $571596.83    | 0.03%             | 2034-03-11      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 003502 G2 01/34 FIXED 6.5                  | CUSIP: 36202D3K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1233 | PA      | $1295.28      | 0.00%             | 2034-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 3 MONTH SOFR FUT  MAR27 XCME 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        469 | NC      | $-625594.41   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03436 FG 11/37 FIXED 6               | CUSIP: 3128M5EH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8133 | PA      | $8546.97      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX5713 FN 02/53 FIXED 4                       | CUSIP: 3140NAK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142124 | PA      | $134458.38    | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-116005.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A14613 FG 10/33 FIXED 5               | CUSIP: 31296PDS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13972 | PA      | $13963.04     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1642.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8313 FR 04/53 FIXED 4               | CUSIP: 3132DWGW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     827719 | PA      | $781847.00    | 0.04%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-11008.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS RIALTO 2026-FL11 ISSUER LLC 2026-FL11                             | FS RIALTO ISSUER LTD FSRIA 2026 FL11 A 144A             | CUSIP: 30343TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000190.92   | 0.06%             | 2044-01-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $747.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $29855.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                            | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    5700000 | PA      | $5737050.00   | 0.33%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                    | NOVA SECURITISATION SARL SR SECURED 144A 02/36 6.5      | CUSIP: 66984FAB3<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |    1700000 | PA      | $1619258.84   | 0.09%             | 2036-02-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889037 FN 08/37 FIXED VAR                     | CUSIP: 31410GV67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10627 | PA      | $10835.15     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                       | NRG ENERGY INC SR SECURED 144A 10/30 4.734              | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1883425.35   | 0.11%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73700000 | PA      | $57776769.35  | 3.29%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $37560.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                            | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      64477 | PA      | $74618.38     | 0.00%             | 2031-12-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55086 | PA      | $53589.03     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-977.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5             | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115728 | PA      | $116704.68    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                            | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1008405.00   | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                           | PACIFICORP JR SUBORDINA 09/55 VAR                       | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     900000 | PA      | $860682.51    | 0.05%             | 2055-09-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23482 | PA      | $22963.72     | 0.00%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1049.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-28722.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $3307.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-480507.81   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                          | URSA RE LTD UNSECURED 144A 12/26 VAR                    | CUSIP: 90323WAP5<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    1100000 | PA      | $1116280.00   | 0.06%             | 2026-12-07      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1996.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A68781 FG 10/37 FIXED 5.5             | CUSIP: 3128L0XJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1956 | PA      | $2016.47      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                   | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48328 | PA      | $47455.80     | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR JPY MUTK/0.5000 03/15/22-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $543335.87    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 5A1        | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39242 | PA      | $38452.56     | 0.00%             | 2037-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1653.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                        | SIXTH STREET LENDING PAR SR UNSECURED 03/29 6.5         | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     600000 | PA      | $608472.82    | 0.03%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $37543.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60000 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15990.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0534 FN 10/30 FIXED 4                       | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63809 | PA      | $63376.00     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-37466.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                    | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A          | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1100243.12   | 0.06%             | 2034-08-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR JPY MUTK/1.00000 03/18/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $296500.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $23507.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 735036 FN 12/34 FIXED VAR                     | CUSIP: 31402QSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4045 | PA      | $4134.57      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1011514.35   | 0.06%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                 | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17850000 | PA      | $18366408.53  | 1.04%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M2             | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22220 | PA      | $22272.05     | 0.00%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL RA8790 FR 04/53 FIXED 5               | CUSIP: 3133KQXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77744 | PA      | $77321.70     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                           | HPS CORPORATE LENDING FU SR UNSECURED 144A 06/27 5.3    | CUSIP: 40440VAL9<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2090279.46   | 0.12%             | 2027-06-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                          | PEACEHEALTH OBLIGATED GR SR UNSECURED 11/28 4.335       | CUSIP: 70462GAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $696948.24    | 0.04%             | 2028-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| MILLER HOMES (CASTLE UK FINCO PLC)                                   | MILLER HOMES GROUP FIN SR SECURED 144A 10/30 VAR        | CUSIP: ACI2W4YJ9<br>LEI: 98450057058CDE2E9650 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1144250.99   | 0.07%             | 2030-10-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS EUR 2.75000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1016120.31  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $880.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A45796 FG 01/33 FIXED 7               | CUSIP: 3128K6NM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        852 | PA      | $895.81       | 0.00%             | 2033-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-4863.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                      | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A    | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3303110.65   | 0.19%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO V DAC 5A                                                | PROVIDUS CLO PRVD 5A AR 144A                            | CUSIP: ACI3128Y1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1270698.32   | 0.07%             | 2039-11-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 765387 FN 08/34 FIXED 6                       | CUSIP: 31404DJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11209 | PA      | $11496.69     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3259.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56700000 | PA      | $35280245.95  | 2.01%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0920 FN 12/31 FIXED 4                       | CUSIP: 31418AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1402 | PA      | $1391.15      | 0.00%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                         | BROADCOM INC COMPANY GUAR 02/31 2.45                    | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1368000 | PA      | $1242714.13   | 0.07%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6227.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4521.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-88217.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $12197.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5729 | PA      | $5798.52      | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                           | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9    | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     200000 | PA      | $194964.44    | 0.01%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-1936332.90  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING                                             | MET TOWER GLOBAL FUNDING SR SECURED 144A 09/30 4.2      | CUSIP: 58989V2L7<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1180273.94   | 0.07%             | 2030-09-16      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080610 G2 06/32 FLOATING VAR               | CUSIP: 36225CVC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $365.02       | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                       | CAIRN CLO BV CRNCL 2019 11A AR 144A                     | CUSIP: ACI34RX33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1300000 | PA      | $1501786.52   | 0.09%             | 2040-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 824598 FN 12/34 FIXED 5.5                     | CUSIP: 31407ADB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45641 | PA      | $46029.06     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | AUST 10Y BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        298 | NC      | $-137370.94   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CITADEL FINANCE LLC                                                  | CITADEL FINANCE LLC COMPANY GUAR 144A 02/29 4.75        | CUSIP: 17287HAE0<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $980523.19    | 0.06%             | 2029-02-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2085.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6209.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080968 G2 07/34 FLOATING VAR               | CUSIP: 36225DCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4991 | PA      | $5064.92      | 0.00%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -43 | NC      | $429868.21    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                            | BANCO BILBAO VIZCAYA ARG 03/36 5.127                    | CUSIP: 05946KAU5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1400000 | PA      | $1362319.07   | 0.08%             | 2036-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-19014.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-630335.11   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                         | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1300000 | PA      | $1525279.60   | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                         | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A    | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2791197 | PA      | $2327470.16   | 0.13%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                   | RWE FINANCE US LLC COMPANY GUAR 144A 09/35 5.125        | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291806.78    | 0.02%             | 2035-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 967211 FN 12/37 FIXED 5.5                     | CUSIP: 31414JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48441 | PA      | $49826.73     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                 | COLLEGE AVE STUDENT LOANS CASL 2023 B A1B 144A          | CUSIP: 19425MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3053136 | PA      | $3074122.96   | 0.17%             | 2054-06-25      | Floating      | 5.31%                 | 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      | $-27373.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $8819.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                   | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A3 144A          | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     963330 | PA      | $967359.65    | 0.06%             | 2029-01-16      | Fixed         | 6.24%                 | 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        |   21409610 | PA      | $20627620.49  | 1.17%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $26305.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $5.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX9985 FN 04/53 FIXED 5                       | CUSIP: 3140NFCX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1200982 | PA      | $1193714.20   | 0.07%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                           | CAPITAL FOUR CLO CFOUR 10A A 144A                       | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $461535.80    | 0.03%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU LTD 2021-2A                                            | TRIMARAN CAVU LTD CAVU 2021 2A AR 144A                  | CUSIP: 89624UAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1099774.04   | 0.06%             | 2034-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                      | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR         | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $412836.60    | 0.02%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-33907.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7547 | PA      | $7419.90      | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1375.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                        | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     184800 | PA      | $177009.07    | 0.01%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/47 2.75                              | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18100000 | PA      | $12772519.49  | 0.73%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-71764.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7600000 | NC      | $-39700.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BW9648 FN 07/53 FIXED 3.5                     | CUSIP: 3140N2WJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384915 | PA      | $353567.98    | 0.02%             | 2053-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $80.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 819030 FN 04/35 FIXED 5.5                     | CUSIP: 31406S4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4053 | PA      | $4075.48      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                 | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR           | CUSIP: 92853KAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $250012.50    | 0.01%             | 2031-01-08      | Floating      | 5.93%                 | 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      | $100349.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-9801.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                         | BARCLAYS PLC SR UNSECURED 02/37 VAR                     | CUSIP: 06738EDK8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1355466.97   | 0.08%             | 2037-02-24      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91302 FG 05/30 FIXED 4.5             | CUSIP: 3128P7NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14065 | PA      | $14099.78     | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                            | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A            | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1979963 | PA      | $2285607.13   | 0.13%             | 2032-07-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.56900 08/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $135442.93    | 0.01%             |  |  |  | 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      | $8184.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION                                          | ONEMAIN FINANCE CORP COMPANY GUAR 09/33 6.75            | CUSIP: 682691AN0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     700000 | PA      | $672071.82    | 0.04%             | 2033-09-15      | Fixed         | 6.75%                 | 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        |        683 | PA      | $704.87       | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-235.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.81358 03/10/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $161934.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-93065.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1         | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35859 | PA      | $35860.67     | 0.00%             | 2036-10-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC                          | ACRES PLC ACRES 2026 FL4 A 144A                         | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $499677.88    | 0.03%             | 2044-08-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $22540.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                  | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5             | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     797734 | PA      | $800649.88    | 0.05%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                | ENTERGY LOUISIANA LLC 1ST MORTGAGE 04/36 4.9            | CUSIP: 29364WBR8<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1561476.11   | 0.09%             | 2036-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN OWNER TRUST 1999-3                                 | FREMONT HOME LOAN OWNER TRUST FREHE 1999 3 A2           | CUSIP: 35729BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15265 | PA      | $14981.89     | 0.00%             | 2029-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BW5055 FN 12/52 FIXED 4                       | CUSIP: 3140MWTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2408608 | PA      | $2276196.99   | 0.13%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208990 | PA      | $193809.59    | 0.01%             | 2035-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL 1L0113 FH 05/35 FLOATING VAR          | CUSIP: 3128Q2DS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2770 | PA      | $2855.90      | 0.00%             | 2035-05-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PEN BOUGHT USD 20260720                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $54113.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-650565.59   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-77063.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A           | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48488 | PA      | $47952.17     | 0.00%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 5A1        | CUSIP: 92925VAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     532633 | PA      | $502014.22    | 0.03%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5               | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1607223 | PA      | $1593539.01   | 0.09%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 930768 FN 03/29 FIXED 4                       | CUSIP: 31412PCD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        462 | PA      | $460.11       | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/43 4.375                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22700000 | PA      | $21433322.29  | 1.22%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6497.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $25426.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -19875922 | PA      | $-20237567.98 | -1.15%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYFRT-7A                                                            | BAYFRONT IABS VII PTE. LTD. BAYFRT 7A A 144A            | CUSIP: ACI355GJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | SG        |    1500000 | PA      | $1499947.05   | 0.09%             | 2048-04-11      | Floating      | 5.04%                 | No            |                  3 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-783.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4755.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 725425 FN 04/34 FIXED VAR                     | CUSIP: 31402C4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3510 | PA      | $3582.27      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | 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      | $8894.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2019-BN19                                                       | BANK BANK 2019 BN19 ASB                                 | CUSIP: 06540WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2027745 | PA      | $1990424.19   | 0.11%             | 2061-08-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                | QUIKRETE HOLDINGS INC 2025 TERM LOAN B                  | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |     990000 | PA      | $989381.25    | 0.06%             | 2032-02-10      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.77500 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22357.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4647125 | PA      | $-4661238.06  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2980.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                 | NORINCHUKIN BANK SR UNSECURED 144A 09/30 4.674          | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $496073.77    | 0.03%             | 2030-09-09      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0130 FN 07/29 FIXED 5                       | CUSIP: 31417YEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4564 | PA      | $4598.29      | 0.00%             | 2029-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $166015.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.80283 03/10/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $628555.26    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                                | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 1A1        | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3774179 | PA      | $3138540.88   | 0.18%             | 2047-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-20653.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/4.06000 07/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-132755.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-48638.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A10695 FG 07/33 FIXED 4.5             | CUSIP: 31296JXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4328 | PA      | $4281.61      | 0.00%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $31324.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAND RIVER FUNDING TRUST II                                         | GRAND RIVER FND TRST II SR UNSECURED 144A 02/56 7.28    | CUSIP: 38644CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1361368.83   | 0.08%             | 2056-02-15      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-30648.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                      | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 04/29 4.2    | CUSIP: 05401ABE0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     900000 | PA      | $883428.37    | 0.05%             | 2029-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                    | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A4 144A      | CUSIP: 57643QBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68686 | PA      | $46305.71     | 0.00%             | 2035-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS (OAK-EAGLE ACQUIRECO INC)                            | ELECTRONIC ARTS INC USD TERM LOAN B                     | CUSIP: 67123SAB5<br>LEI: 6488ICS9P20290MA1H31 | Long             | LON              | CORP              | US        |    1200000 | PA      | $1194000.00   | 0.07%             | 2033-03-24      | Floating      | 7.17%                 | 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        |    4200000 | PA      | $4195687.86   | 0.24%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.28000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $130323.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC 2025-2A                                        | SWITCH ABS ISSUER, LLC SWTCH 2025 2A A21 144A           | CUSIP: 871044AS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5870301.60   | 0.33%             | 2055-10-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-930.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT SEK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $2216.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                         | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1600000 | PA      | $1582011.47   | 0.09%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10643.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4059.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                   | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875             | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1013751.83   | 0.06%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                              | BANK OF NOVA SCOTIA SR UNSECURED 02/34 VAR              | CUSIP: 06418GAZ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    2100000 | PA      | $2071027.69   | 0.12%             | 2034-02-02      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA4867 FN 01/53 FIXED 4.5                     | CUSIP: 31418EMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1690815 | PA      | $1638706.43   | 0.09%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5931.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $6576.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6930.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6611.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $80213.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-32196.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $739.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $112006.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $8807.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 821707 FN 06/35 FIXED 5.5                     | CUSIP: 31406V3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15202 | PA      | $15363.79     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GALAXY XXII CLO LTD 2016-22A                                         | GALAXY CLO LTD GALXY 2016 22A AR4 144A                  | CUSIP: 36320TBM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $699724.66    | 0.04%             | 2034-04-16      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60933 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $89469.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDEX FREIGHT HOLDING COMPANY INC                                    | FEDEX FREIGHT HOLDING CO COMPANY GUAR 144A 03/31 4.65   | CUSIP: 314352AC9<br>LEI: 984500Y1DA5A58ICE336 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1278302.71   | 0.07%             | 2031-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                              | GA GLOBAL FUNDING TRUST SECURED 144A 12/31 5.2          | CUSIP: 36143L2Q7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1225423.04   | 0.07%             | 2031-12-09      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $88551.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03640 FG 12/37 FIXED 5.5             | CUSIP: 3128M5LV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5817 | PA      | $6010.99      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | 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      | $-18326.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 003240 G2 05/32 FIXED 7                    | CUSIP: 36202DS51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $394.32       | 0.00%             | 2032-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2728.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15955520 | PA      | $14688929.18  | 0.84%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                       | VAR ENERGI ASA SR UNSECURED 144A 05/30 5.875            | CUSIP: 92212WAF7<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    1900000 | PA      | $1962030.06   | 0.11%             | 2030-05-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 745093 FN 12/35 FIXED VAR                     | CUSIP: 31403CXW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31472 | PA      | $32493.82     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2065.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                             | LLOYDS BANKING GROUP PLC SR UNSECURED 11/31 VAR         | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $887650.34    | 0.05%             | 2031-11-04      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 995615 FN 10/37 FLOATING VAR                  | CUSIP: 31416CAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        879 | PA      | $897.22       | 0.00%             | 2037-10-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS2                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS2 M3         | CUSIP: 75406BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3859353.03   | 0.22%             | 2036-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.90000 06/24/25-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $76084.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 545191 FN 09/31 FIXED VAR                     | CUSIP: 31385HUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        765 | PA      | $781.19       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                   | VICI PROPERTIES LP SR UNSECURED 04/35 5.625             | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1095374.85   | 0.06%             | 2035-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                   | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A         | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1601296.96   | 0.09%             | 2028-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AE0233 FN 07/39 FIXED VAR                     | CUSIP: 31419AHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115508 | PA      | $119260.53    | 0.01%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1142 | NC      | $-1832648.11  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91275 FG 11/29 FIXED 4.5             | CUSIP: 3128P7MY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8604 | PA      | $8647.84      | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $12060.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10594.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                              | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/27 4.45   | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     700000 | PA      | $698210.91    | 0.04%             | 2027-09-11      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                      | PHILIP MORRIS INTL INC SR UNSECURED 10/32 4.25          | CUSIP: 718172DZ9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     300000 | PA      | $290725.86    | 0.02%             | 2032-10-29      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15350 | PA      | $14719.14     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                  | CENTENE CORP SR UNSECURED 08/31 2.625                   | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83670.78     | 0.00%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0800 FN 07/41 FIXED 5.5                     | CUSIP: 31417Y3J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4820 | PA      | $4954.48      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-89557.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $30374.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 835168 FN 08/35 FIXED 5.5                     | CUSIP: 31407MZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11228 | PA      | $11593.32     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ICG EURO CLO 2023-2 DAC 23-2A                                        | ICG EURO CLO ICGE 2023 2A A1R 144A                      | CUSIP: ACI38GWX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2100000 | PA      | $2426783.99   | 0.14%             | 2038-01-26      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $317.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR JPY MUT+5.89/0.7500 6/20/19-20Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $93818.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                        | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                  | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2827 | PA      | $2778.89      | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $383713.01    | 0.02%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 254548 FN 12/32 FIXED 5.5                     | CUSIP: 31371KWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2439 | PA      | $2517.66      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS AUD 4.75000 12/20/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-413746.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                    | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                  | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2600000 | PA      | $144605.87    | 0.01%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4534.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                            | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4500000 | PA      | $1228612.89   | 0.07%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 DATA A 144A   | CUSIP: 465972AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3232306.00   | 0.18%             | 2042-06-10      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2690.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                         | BROADCOM INC SR UNSECURED 04/33 3.419                   | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3759000 | PA      | $3438729.40   | 0.20%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-9654.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36902000 | PA      | $34550003.06  | 1.97%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                                | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                  | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     741484 | PA      | $742414.38    | 0.04%             | 2041-08-17      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $87335.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $13146.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                             | WOODSIDE FINANCE LTD COMPANY GUAR 05/32 5.7             | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |     900000 | PA      | $933510.43    | 0.05%             | 2032-05-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $9336.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                  | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9686660 | PA      | $9399195.36   | 0.53%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC INC                                                        | MEDTRONIC INC COMPANY GUAR 10/45 4.2                    | CUSIP: ACI30CN23<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |     300000 | PA      | $331849.89    | 0.02%             | 2045-10-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2023-3A                     | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 3A A 144A     | CUSIP: 05377RGU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2720177.10   | 0.15%             | 2028-02-22      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                    | KINDER MORGAN INC COMPANY GUAR 06/35 5.85               | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2935398.93   | 0.17%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A        | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7465 | PA      | $6991.50      | 0.00%             | 2034-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $45028.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-88354.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX MPC II SARL                                    | CHILE ELECTRICITY LUX GOVT GUARANT 144A 10/35 5.672     | CUSIP: 16882LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1067958 | PA      | $1079242.39   | 0.06%             | 2035-10-20      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PEN BOUGHT USD 20260526                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $121730.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1         | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7381 | PA      | $6981.25      | 0.00%             | 2034-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PEN BOUGHT USD 20260706                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $33326.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5             | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        998 | PA      | $1016.92      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                     | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR             | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     500000 | PA      | $509075.00    | 0.03%             | 2029-01-08      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0563 FN 11/30 FIXED 4                       | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158097 | PA      | $157007.87    | 0.01%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-6164.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                 | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR         | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499354.88    | 0.03%             | 2028-01-14      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                    | POST HOLDINGS INC COMPANY GUAR 144A 03/36 6.5           | CUSIP: 737446AY0<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1176391.08   | 0.07%             | 2036-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AD0570 FN 08/37 FIXED VAR                     | CUSIP: 31418MT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5208 | PA      | $5314.88      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $12952.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WINDROSE RE LTD                                                      | WINDROSE RE LTD UNSECURED 144A 02/33 VAR                | CUSIP: 972917AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $249275.00    | 0.01%             | 2033-02-11      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                   | RGA GLOBAL FUNDING SECURED 144A 11/30 4.6               | CUSIP: 76209PAK9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1286725.90   | 0.07%             | 2030-11-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                  | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR            | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $248675.00    | 0.01%             | 2030-01-08      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 829708 FN 06/35 FLOATING VAR                  | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134290 | PA      | $138259.29    | 0.01%             | 2035-06-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 256022 FN 12/35 FIXED 5.5                     | CUSIP: 31371MLB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4639 | PA      | $4789.40      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4802.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 735861 FN 09/33 FIXED VAR                     | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5154 | PA      | $5260.29      | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/40 1.375                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14600000 | PA      | $9409300.84   | 0.54%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $29381.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    8900000 | NC      | $26530.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COTY INC/HFC PRESTIGE PRODUCTS INC/HFC PRESTIGE INTERNATIONAL US LLC | COTY/HFC PRESTIGE/INT US COMPANY GUAR 144A 01/31 5.6    | CUSIP: 22207AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $678048.49    | 0.04%             | 2031-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1858.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | LONG GILT FUTURE  JUN26 IFLL 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        513 | NC      | $-3184409.44  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/30 4.375                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29600000 | PA      | $30139968.82  | 1.71%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-325.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $5489.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 6 LP 2025-1                                    | PK ALIFT LOAN FUNDING PKAIR 2025 1 A 144A               | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1592720 | PA      | $1606422.89   | 0.09%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $754.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $44.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 759477 FN 02/34 FIXED 5.5                     | CUSIP: 31403VXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6844 | PA      | $6914.96      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                   | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A         | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $999020.20    | 0.06%             | 2029-08-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 253947 FN 08/31 FIXED 8                       | CUSIP: 31371KBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        489 | PA      | $510.22       | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/1.78750 05/03/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-506517.68   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2023-BA ASSET-BACKED NOTES  | FORD AUTO SECURITIZATION TRUST FASTR 2023 BA A2 144A    | CUSIP: 345214AY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    1396587 | PA      | $1017066.99   | 0.06%             | 2028-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $67049.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $18100.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-1                                       | CARMAX AUTO OWNER TRUST CARMX 2023 1 A3                 | CUSIP: 14318DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     131393 | PA      | $131526.67    | 0.01%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                              | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV3 A3 144A      | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2984359 | PA      | $2488540.37   | 0.14%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/28 1.5                               | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31400000 | PA      | $29571808.48  | 1.68%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $428346.43    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/28 4.625                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32600000 | PA      | $33227804.61  | 1.89%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 725943 FN 10/34 FIXED VAR                     | CUSIP: 31402DP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3777 | PA      | $3845.49      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6056.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2823.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1648.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 39A LTD                                                          | LCM LTD PARTNERSHIP LCM 39A A1R2 144A                   | CUSIP: 50204NBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $1000150.28   | 0.06%             | 2034-10-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4986.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 04/36 VAR                   | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1618904.25   | 0.09%             | 2036-04-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                          | LETRA TESOURO NACIONAL BILLS 07/26 0.00000              | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  100500000 | PA      | $18789755.98  | 1.07%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18300000 | PA      | $18050406.67  | 1.03%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-38048.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $240.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 310104 FN 08/37 FIXED VAR                     | CUSIP: 31374CNV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20784 | PA      | $21231.60     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGOR INC              | BAKER HUGHES LLC/CO OBL COMPANY GUAR 06/33 4.65         | CUSIP: 05724BAN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1082975.10   | 0.06%             | 2033-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8903.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-2                               | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A3 144A     | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1285716 | PA      | $1292164.27   | 0.07%             | 2028-02-15      | Fixed         | 5.83%                 | 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      | $61377.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | GENERAL MOTORS COMPANY SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $19528.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-177717.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $8604.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $134448.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/2.85000 08/29/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-132132.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-142192.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $54794.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                 | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25            | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4769092.23   | 0.27%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                        | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3030739 | PA      | $2754923.37   | 0.16%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-5224.28     | -0.00%            |  |  |  | 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        |     106491 | PA      | $103073.07    | 0.01%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $803.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                           | MARRIOTT INTERNATIONAL SR UNSECURED 05/33 4.5           | CUSIP: 571903BY8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     700000 | PA      | $676637.26    | 0.04%             | 2033-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2         | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8223 | PA      | $7808.70      | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $33057.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 939419 FN 05/37 FLOATING VAR                  | CUSIP: 31413ADY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3879 | PA      | $3938.49      | 0.00%             | 2037-05-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                           | SANTANDER HOLDINGS USA SR UNSECURED 09/30 VAR           | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     300000 | PA      | $303355.37    | 0.02%             | 2030-09-06      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CHF BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $10122.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3         | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7474 | PA      | $6985.20      | 0.00%             | 2033-10-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGOR INC              | BAKER HUGHES LLC/CO OBL COMPANY GUAR 03/30 3.226        | CUSIP: ACI38VDK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $572591.12    | 0.03%             | 2030-03-11      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL COMPANY                                             | EASTMAN CHEMICAL CO SR UNSECURED 02/31 4.5              | CUSIP: 277432BB5<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |     700000 | PA      | $684720.40    | 0.04%             | 2031-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CLECO POWER LLC                                                      | CLECO POWER LLC SR UNSECURED 144A 01/36 5.3             | CUSIP: 185508AJ7<br>LEI: TM1ZH54SJKLNHFCBFK92 | Long             | DBT              | CORP              | US        |     500000 | PA      | $496417.62    | 0.03%             | 2036-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $29833.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                                                | JANE STREET GROUP LLC 2024 TERM LOAN B1                 | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    1682527 | PA      | $1653848.80   | 0.09%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $141397.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-61374.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4           | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $6265328.89   | 0.36%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3316.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA4993 FN 04/53 FIXED 4                       | CUSIP: 31418ERP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     409001 | PA      | $386419.36    | 0.02%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BMW CANADA AUTO TRUST 2024-1A                                        | BMW CANADA AUTO TRUST BMWC 2024 1A A2 144A              | CUSIP: 05570XCL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     176540 | PA      | $127193.24    | 0.01%             | 2027-07-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-8                                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 3A           | CUSIP: 86359BWG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32315 | PA      | $31572.86     | 0.00%             | 2034-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AB0528 FN 04/39 FIXED 5                       | CUSIP: 31416VSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234285 | PA      | $236906.10    | 0.01%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/28 1.25                              | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19200000 | PA      | $18034124.93  | 1.03%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 781319 GN 07/31 FIXED 7                       | CUSIP: 36225BPC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1546 | PA      | $1614.36      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PEN BOUGHT USD 20261026                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $189421.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                 | INTEGRITY RE III UNSECURED 144A 06/27 VAR               | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $255625.00    | 0.01%             | 2027-06-06      | Floating      | 13.26%                | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14244.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                     | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   26500000 | PA      | $18283679.92  | 1.04%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-73235.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMAZONCOM INC                                                        | AMAZON.COM INC SR UNSECURED 03/33 4.55                  | CUSIP: 023135DE3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3170135.17   | 0.18%             | 2033-03-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7644000 | PA      | $-7654351.25  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                              | GOLDMAN SACHS GROUP INC SR UNSECURED 04/31 VAR          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1017101.36   | 0.06%             | 2031-04-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1922.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4377.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1826.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-8539.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-FM2                                                 | GSAMP TRUST GSAMP 2004 FM2 M1                           | CUSIP: 36228FN28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1127415 | PA      | $1172348.56   | 0.07%             | 2034-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                         | ALPHABET INC SR UNSECURED 11/38 3.5                     | CUSIP: ACI34TG04<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     500000 | PA      | $548046.29    | 0.03%             | 2038-11-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2007-1                                  | MASTR SPECIALIZED LOAN TRUST MASD 2007 1 A 144A         | CUSIP: 57645KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208838 | PA      | $80786.27     | 0.00%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $323731.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $383.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2024-P016                 | FREDDIE MAC MULTICLASS CERTIFI FHMR 2024 P016 A2        | CUSIP: 3137HDJU5<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    2600000 | PA      | $2615516.80   | 0.15%             | 2033-09-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $966689.86    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $953938.01    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $21970.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                     | NELNET STUDENT LOAN TRUST NSLT 2026 A A1B 144A          | CUSIP: 64032UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5274860 | PA      | $5302762.64   | 0.30%             | 2061-02-21      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-387272.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                          | BANK OF AMERICA CORP SR UNSECURED 09/29 VAR             | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2476126.75   | 0.14%             | 2029-09-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5129.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                   | SOUTHERN CAL EDISON 1ST MORTGAGE 06/26 4.9              | CUSIP: 842400HW6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1198499.53   | 0.07%             | 2026-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1162 | NC      | $-824602.59   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REPU STATE STREET GLOBAL MARKE USD REPU SSB T           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -65480048 | PA      | $-65480047.50 | -3.72%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6219.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                         | UBS GROUP AG SR UNSECURED 144A 02/30 VAR                | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     700000 | PA      | $715245.17    | 0.04%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                         | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75   | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |    1600000 | PA      | $1602142.42   | 0.09%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 3 MONTH SOFR FUT  JUN27 XCME 20270914                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1604 | NC      | $-2165315.02  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                | IVORY COAST SR UNSECURED REGS 01/32 4.875               | CUSIP: ACI1T3QV9<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    4800000 | PA      | $5174972.61   | 0.29%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-22109.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PEN BOUGHT USD 20260804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $165035.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-163748.39   | -0.01%            |  |  |  | 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        |     300000 | PA      | $301997.09    | 0.02%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-12686.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                             | SCE RECOVERY FUNDING LLC SR SECURED 03/47 5.341         | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1590171.38   | 0.09%             | 2047-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-409.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                         | UBS GROUP AG SR UNSECURED 144A 04/30 VAR                | CUSIP: 225401BR8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3800000 | PA      | $3752552.33   | 0.21%             | 2030-04-10      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15885750 | PA      | $-15923911.11 | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB          | CUSIP: 38376RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     494224 | PA      | $494617.28    | 0.03%             | 2065-08-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                     | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                 | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1478 | PA      | $1516.71      | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0511 FN 09/30 FIXED 4.5                     | CUSIP: 31417YR90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11588 | PA      | $11603.90     | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                 | INTEGRITY RE III UNSECURED 144A 06/27 VAR               | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $274725.00    | 0.02%             | 2027-06-06      | Floating      | 29.01%                | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1236.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/42 3.25                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12000000 | PA      | $9891093.72   | 0.56%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-3187.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-82265.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8383 FR 12/53 FIXED 5.5             | CUSIP: 3132DWJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13615430 | PA      | $13710934.53  | 0.78%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6600000 | PA      | $6051397.51   | 0.34%             | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034    | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2982254 | PA      | $2897497.60   | 0.16%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.8724* 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $339258.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QG0749 FR 04/53 FIXED 5               | CUSIP: 3133C0ZN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     652383 | PA      | $645122.63    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3894 FN 09/31 FIXED 4                       | CUSIP: 31418DKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2611.87      | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-79472.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-357.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7700000 | NC      | $-21432.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $25109.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                     | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     649568 | PA      | $650007.57    | 0.04%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 2A1       | CUSIP: 12668ASY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1734510 | PA      | $887285.25    | 0.05%             | 2035-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                                | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21       | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124352 | PA      | $76951.46     | 0.00%             | 2035-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                                 | CARNIVAL CORP COMPANY GUAR 144A 05/29 5.125             | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     800000 | PA      | $794565.28    | 0.05%             | 2029-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                  | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85    | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3736727.49   | 0.21%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LIMITED                                             | HEATHROW FUNDING LTD SR SECURED REGS 12/33 6.45         | CUSIP: B3CPY8II2<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     100000 | PA      | $138198.12    | 0.01%             | 2033-12-10      | Fixed         | 6.45%                 | 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        |       4396 | PA      | $4277.98      | 0.00%             | 2032-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                          | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR             | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1426935.03   | 0.08%             | 2031-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $1639.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A   | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269161 | PA      | $151475.67    | 0.01%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6816.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QG9137 FR 08/53 FIXED 5.5             | CUSIP: 3133CAEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1455001 | PA      | $1465025.37   | 0.08%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                   | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25             | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1219012.24   | 0.07%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                          | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |       6784 | PA      | $66069.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1632.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAIICHI LIFE INSURANCE CO LTD                                        | DAI ICHI LIFE INSURANCE SUBORDINATED 144A 12/99 VAR     | CUSIP: 23381LAA2<br>LEI: 3538001235ACEIORUV72 | Long             | DBT              | CORP              | JP        |    1800000 | PA      | $1811422.80   | 0.10%             | 2035-01-16      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $22161.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7202.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR JPY MUT+5.89/0.7850 11/12/18-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $258901.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORPORATION LLC                           | EQUINIX EU 2 FINANCING C COMPANY GUAR 11/30 4.6         | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2180458.02   | 0.12%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $7220.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 06/30 3.75                              | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23100000 | PA      | $22955173.86  | 1.31%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5      | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2583762.04   | 0.15%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/47 3                                 | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27200000 | PA      | $20223624.86  | 1.15%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORPORATION                                              | BLACK HILLS CORP SR UNSECURED 01/31 4.55                | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     700000 | PA      | $692839.50    | 0.04%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $595986.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3028.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-69716.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/35 6             | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $516844.06    | 0.03%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2046.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1949.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 640050 FN 04/32 FIXED 6                       | CUSIP: 31390ABT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1045 | PA      | $1065.54      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-374.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                   | VICI PROPERTIES LP SR UNSECURED 11/31 5.125             | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     900000 | PA      | $893934.85    | 0.05%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4641.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5             | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     380189 | PA      | $383205.71    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $14486.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44500000 | PA      | $43835702.22  | 2.49%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CDX ITRAXX XOV44 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $780468.87    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-9367.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1722 | NC      | $7235267.13   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                           | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    1100000 | PA      | $336331.50    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | 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      | $19500.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $256.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2006-2                                  | MASTR SPECIALIZED LOAN TRUST MASD 2006 2 A 144A         | CUSIP: 57643AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91829 | PA      | $90859.83     | 0.01%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD 2024-1A                               | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 1A A1R 144A   | CUSIP: 69703NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $999837.89    | 0.06%             | 2032-10-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G01644 FG 02/34 FIXED 5.5             | CUSIP: 31283HZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $348.87       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-22155.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC                                                            | AMGEN INC SR UNSECURED 02/36 4.85                       | CUSIP: 031162DW7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1769240.84   | 0.10%             | 2036-02-19      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $4994.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO XI DAC 11A                                          | INVESCO EURO CLO XI DAC INVSC 11A A1R 144A              | CUSIP: ACI318SX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1270685.60   | 0.07%             | 2036-10-22      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5305.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $47208.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1       | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170718 | PA      | $159880.01    | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $415.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2476.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                   | BMW US CAPITAL LLC COMPANY GUAR 144A 03/27 4.65         | CUSIP: 05565ECU7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2009371.72   | 0.11%             | 2027-03-19      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2817.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                         | HUNGARY SR UNSECURED REGS 06/34 4.5                     | CUSIP: ACI2T1RX6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    2200000 | PA      | $2521535.80   | 0.14%             | 2034-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2048.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAE SUKUK (DIFC) LTD                                                 | DAE SUKUK DIFC LTD SR UNSECURED 144A 10/30 4.5          | CUSIP: 23302JAC9<br>LEI: 635400AMGMPG1J5EQD94 | Long             | DBT              | CORP              | AE        |    1800000 | PA      | $1721272.75   | 0.10%             | 2030-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                | IVORY COAST SR UNSECURED REGS 03/30 5.25                | CUSIP: BD35RTII6<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    2600000 | PA      | $2968607.11   | 0.17%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1                      | GM FINANCIAL REVOLVING RECEIVA GMREV 2023 1 A 144A      | CUSIP: 38012RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2646970.30   | 0.15%             | 2035-04-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $17358.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-243.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                            | VMED O2 UK FINANCING I SR SECURED 144A 01/33 6.75       | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $894790.30    | 0.05%             | 2033-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AL3681 FN 10/40 FIXED VAR                     | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7318 | PA      | $7680.99      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                  | INTESA SANPAOLO SPA JR SUBORDINA REGS 12/99 VAR         | CUSIP: ACI24KS28<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    1800000 | PA      | $2123441.34   | 0.12%             | 2028-03-30      | Floating      | 6.38%                 | 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        |       7724 | PA      | $7328.16      | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 735883 FN 03/33 FIXED VAR                     | CUSIP: 31402RRC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6178 | PA      | $6377.20      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4900000 | PA      | $4435361.32   | 0.25%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK49                                                      | BANK BANK 2025 BNK49 ASB                                | CUSIP: 05494FBM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     763000 | PA      | $795203.18    | 0.05%             | 2058-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                              | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV5 A12 144A     | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3044513 | PA      | $2640332.63   | 0.15%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                      | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $419280.00    | 0.02%             | 2028-01-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1070.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                | AIRCASTLE / IRELAND DAC COMPANY GUAR 144A 09/30 5       | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     800000 | PA      | $798492.14    | 0.05%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C11 MORTGAGE TRUST                                         | BMO MORTGAGE TRUST BMO 2025 5C11 A2                     | CUSIP: 096941AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3659734.80   | 0.21%             | 2058-07-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT GBP SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-44.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/4.00000 06/17/26-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $243843.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO XII DAC  12A                                        | INVESCO EURO CLO XII DAC INVSC 12A A1R 144A             | CUSIP: ACI387VH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2300000 | PA      | $2651165.76   | 0.15%             | 2037-07-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                  | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/35 4.67          | CUSIP: 65339KDT4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1446236.85   | 0.08%             | 2035-06-12      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 802084 FN 11/34 FIXED 5.5                     | CUSIP: 31405XCV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4828 | PA      | $4946.41      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $15702.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -25 | NC      | $-3326.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RRE 3 LOAN MANAGEMENT DAC 3A                                         | RRE LOAN MANAGEMENT RRME 3A A1R 144A                    | CUSIP: ACI38FGW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1729912.31   | 0.10%             | 2039-12-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $950.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM          | CUSIP: 38376RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200731 | PA      | $200628.14    | 0.01%             | 2065-04-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                   | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8              | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4435130.25   | 0.25%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2055.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS8                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS8 A4         | CUSIP: 74924RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     817243 | PA      | $804645.45    | 0.05%             | 2036-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                         | ROMANIA SR UNSECURED 144A 06/33 5.375                   | CUSIP: ACI30VFW4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1000000 | PA      | $1126549.42   | 0.06%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889992 FN 06/38 FIXED VAR                     | CUSIP: 31410KXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21079 | PA      | $21742.50     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3107.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 190399 FN 11/39 FIXED VAR                     | CUSIP: 31368HNQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7303 | PA      | $7509.74      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS EUR 2.30000 09/25/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $14459.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9724250 | PA      | $-9745578.52  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                       | LENDMARK FUNDING TRUST LFT 2021 1A A 144A               | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3800000 | PA      | $3722342.06   | 0.21%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST 2024-SFR1                                     | INVITATION HOMES TRUST IHSFR 2024 SFR1 A 144A           | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3989995 | PA      | $3889910.16   | 0.22%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $63.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AL0442 FN 06/40 FIXED VAR                     | CUSIP: 3138EGP40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22609 | PA      | $23343.51     | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-77238.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889234 FN 03/38 FIXED VAR                     | CUSIP: 31410G4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3021 | PA      | $3110.77      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-986.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVIDUS CLO VII DAC 7A                                              | PROVIDUS CLO PRVD 7A ARR 144A                           | CUSIP: ACI38JRZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $806664.88    | 0.05%             | 2038-07-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6297.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 05/36 5.2           | CUSIP: 694308LA3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3250000 | PA      | $3168766.84   | 0.18%             | 2036-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LENDING FUND                                      | BLACKSTONE SECURED LEND SR UNSECURED 09/29 5.25         | CUSIP: 09261XAM4<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1274903.46   | 0.07%             | 2029-09-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-5A LLC                     | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 5A A 144A     | CUSIP: 05377RHC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2632989.58   | 0.15%             | 2028-04-20      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 810851 FN 01/35 FIXED 5.5                     | CUSIP: 31406HZQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5519 | PA      | $5678.34      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $39372.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $807.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                              | HCA INC COMPANY GUAR 09/34 5.45                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     800000 | PA      | $807754.84    | 0.05%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                          | NATIONAL FOOTBALL LEAGUE 9YR OCT SR SEC                 | CUSIP: 958BJPII5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $697675.92    | 0.04%             | 2034-10-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| PFP 2024-11 LTD                                                      | PFP III PFP 2024 11 A 144A                              | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     392014 | PA      | $392870.01    | 0.02%             | 2039-09-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE NETHERLANDS BV                               | IMPERIAL BRANDS FIN NETH COMPANY GUAR REGS 02/31 5.25   | CUSIP: ACI2CX5L4<br>LEI: 724500GIEFJOBWGD0272 | Long             | DBT              | CORP              | NL        |    2400000 | PA      | $2928072.12   | 0.17%             | 2031-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORPORATION                                    | PINNACLE WEST CAPITAL SR UNSECURED 05/28 4.9            | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1007998.57   | 0.06%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-85445.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $6912.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                      | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A    | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1099066.65   | 0.06%             | 2042-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                     | MORGAN STANLEY PVT BANK SR UNSECURED 07/31 VAR          | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1994188.68   | 0.11%             | 2031-07-18      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AVILEASE CAPITAL LIMITED                                             | AVILEASE CAPITAL LTD COMPANY GUAR 144A 11/30 4.75       | CUSIP: 05370HAA1<br>LEI: 635400SXOPVAVBWNE366 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $584484.03    | 0.03%             | 2030-11-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-5560.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $87849.20     | 0.00%             | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.88000 07/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16969.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3653750 | PA      | $-3664463.61  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $91.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-68133.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4126.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TRUST 2023-2                           | GENERAL MOTORS GFORT 2023 2 A 144A                      | CUSIP: 361886CW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5215442.58   | 0.30%             | 2030-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO XIII DAC 13A                                              | ARBOUR CLO ARBR 13A AR 144A                             | CUSIP: ACI38J3K2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1152368.80   | 0.07%             | 2038-08-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                            | INDYMAC ARM TRUST INARM 2001 H2 A1                      | CUSIP: 45660UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7867 | PA      | $7736.69      | 0.00%             | 2032-01-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 783798 FN 07/34 FIXED 5.5                     | CUSIP: 31405AX32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25841 | PA      | $26448.35     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $130079.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BD3604 FN 05/48 FIXED 4                       | CUSIP: 3140FBAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484215 | PA      | $461222.49    | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                              | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1          | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2298544 | PA      | $2287836.33   | 0.13%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-14056.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264255 | PA      | $243764.58    | 0.01%             | 2035-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8939.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | TURKEY EM SP BRC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-152455.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                  | SYNCHRONY FINANCIAL SR UNSECURED 02/32 VAR              | CUSIP: 87165BAZ6<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1165219.12   | 0.07%             | 2032-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/29 3.875                             | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   81000000 | PA      | $81020566.71  | 4.61%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.64300 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $30328.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV                        | TEVA PHARM FIN IV COMPANY GUAR 12/30 5.75               | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |     640000 | PA      | $648538.24    | 0.04%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                         | BARCLAYS PLC SR UNSECURED 02/32 VAR                     | CUSIP: 06738EDJ1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4404283.43   | 0.25%             | 2032-02-24      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $30866.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-329.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BY0191 FN 05/53 FIXED 5                       | CUSIP: 3140NGF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2151527 | PA      | $2128572.94   | 0.12%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                              | CENTERPOINT ENER HOUSTON GENL REF MOR 04/36 4.85        | CUSIP: 15189XBL1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     800000 | PA      | $783768.38    | 0.04%             | 2036-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-378.64      | -0.00%            |  |  |  | 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      | $784.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG GREEN MOUNTAIN (MAPLE PARENT HOLDINGS CORP)                   | MAPLE PARENT HLDS CO COMPANY GUAR 144A 03/29 4.75       | CUSIP: 56530KAA4<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1400088.70   | 0.08%             | 2029-03-26      | Fixed         | 4.75%                 | 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        |     207439 | PA      | $211710.41    | 0.01%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31700000 | PA      | $30753334.02  | 1.75%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815       | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     900000 | PA      | $882284.15    | 0.05%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2229.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5             | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13710 | PA      | $14128.89     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                     | TENN VALLEY AUTHORITY SR UNSECURED 05/35 4.875          | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    9900000 | PA      | $10185172.07  | 0.58%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 761558 FN 12/33 FIXED 5.5                     | CUSIP: 31403YB36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7198 | PA      | $7239.18      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888103 FN 09/36 FIXED VAR                     | CUSIP: 31410FU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6409 | PA      | $6617.20      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                     | VOYA CLO LTD VOYA 2017 3A A1RR 144A                     | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2101547.89   | 0.12%             | 2034-04-20      | Floating      | 4.73%                 | 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        |        209 | PA      | $212.77       | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 256059 FN 01/36 FIXED 5.5                     | CUSIP: 31371MMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2367 | PA      | $2444.12      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-17902.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 647903 FN 04/27 FLOATING VAR                  | CUSIP: 31390JX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.06        | 0.00%             | 2027-04-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.64500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29177.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                          | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR            | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $299394.10    | 0.02%             | 2028-07-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3740                                              | FREDDIE MAC FHR 3740 FC                                 | CUSIP: 3137GAPS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     583323 | PA      | $578698.62    | 0.03%             | 2040-10-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M4           | CUSIP: 86358ESN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609505 | PA      | $603643.64    | 0.03%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CBAMR 2019-9A                                                        | CBAMR LTD CBAMR 2019 9A AR 144A                         | CUSIP: 14987VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4010361.88   | 0.23%             | 2037-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.70000 06/24/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $232450.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX9758 FN 04/53 FIXED 5                       | CUSIP: 3140NEZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9556101 | PA      | $9471798.67   | 0.54%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR JPY MUT+5.89/0.3800 06/18/18-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-383116.43   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $420.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS EUR 2.70000 08/13/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-26843.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.61882 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $38911.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6604.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZM5960 FR 03/48 FIXED 4               | CUSIP: 3131Y0TR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     168106 | PA      | $161091.77    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | 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      | $-80663.70    | -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        |   19364063 | PA      | $18276379.32  | 1.04%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                        | AEP TEXAS INC SR UNSECURED 04/36 5.2                    | CUSIP: 00108WAV2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     400000 | PA      | $393536.62    | 0.02%             | 2036-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A3       | CUSIP: 92925GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510607 | PA      | $456915.84    | 0.03%             | 2036-12-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                    | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $373091.40    | 0.02%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080180 G2 03/28 FLOATING VAR               | CUSIP: 36225CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5592 | PA      | $5593.78      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6158.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERUSAHAAN PERSEROAN (PERSERO) PT PERUSAHAAN LISTRIK NEGARA          | PERUSAHAAN LISTRIK NEGAR SR UNSECURED 144A 02/36 5.45   | CUSIP: 71568PAX7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     700000 | PA      | $670459.43    | 0.04%             | 2036-02-03      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                      | AES CORP/THE SR UNSECURED 06/28 5.45                    | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1261726.30   | 0.07%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT GBP SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-28801.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1052.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $6882.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-227.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $23347.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                  | CONSTELLATION EN GEN LLC SR UNSECURED 01/66 5.875       | CUSIP: 210385AR1<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $960777.78    | 0.05%             | 2066-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL CB3914 FN 06/52 FIXED 4                       | CUSIP: 3140QPK48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64574 | PA      | $61260.54     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -210302 | PA      | $-211181.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA5273 FN 02/54 FIXED 6.5                     | CUSIP: 31418E2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1155323 | PA      | $1195884.73   | 0.07%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $74184.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUERCUS II RE DESIGNATED ACTIVITY COMPANY                            | QUERCUS II RE DAC UNSECURED 144A 01/31 VAR              | CUSIP: ACI37KKF2<br>LEI: 635400PTO1PTKKKHEA32 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $288933.66    | 0.02%             | 2031-01-07      | Floating      | 13.07%                | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                 | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1155979.44   | 0.07%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                              | GA GLOBAL FUNDING TRUST SR SECURED 144A 04/32 5.5       | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     550000 | PA      | $542731.42    | 0.03%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4000000 | PA      | $2772578.12   | 0.16%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 895606 FN 06/36 FLOATING VAR                  | CUSIP: 31410SAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3081 | PA      | $3160.50      | 0.00%             | 2036-06-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL DA6087 FN 12/53 FIXED 6.5                     | CUSIP: 3140A6XR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251371 | PA      | $260658.94    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AE5151 FN 11/30 FIXED 4                       | CUSIP: 31419FWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104145 | PA      | $103413.26    | 0.01%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A39012 FG 06/35 FIXED 5.5             | CUSIP: 31297VAM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5379 | PA      | $5539.11      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/29 6.1           | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1397377.32   | 0.08%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX9039 FN 03/53 FIXED 4                       | CUSIP: 3140NEBH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     885171 | PA      | $840808.29    | 0.05%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03243 FG 07/37 FIXED 5.5             | CUSIP: 3128M45C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $653.59       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX6179 FN 02/53 FIXED 5                       | CUSIP: 3140NA2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2176212 | PA      | $2158072.38   | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $275.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                    | NOVA SECURITISATION SARL SR SECURED 144A 02/31 5.75     | CUSIP: 66984FAA5<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |    2400000 | PA      | $2324953.44   | 0.13%             | 2031-02-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A72749 FG 02/38 FIXED 5.5             | CUSIP: 3128L6BS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2707 | PA      | $2791.83      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2         | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9031 | PA      | $8938.01      | 0.00%             | 2034-02-25      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-71414.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.61300 08/22/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $51133.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | CDX ITRAXX XOV44 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $280163.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOSPHORUS CLO IX DAC 9A                                              | BOSPHORUS CLO BOPHO 9A AR 144A                          | CUSIP: ACI396444<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1155850.22   | 0.07%             | 2038-04-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL CB3909 FN 06/52 FIXED 4                       | CUSIP: 3140QPKX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97083 | PA      | $92031.06     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/30 3.75                              | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10400000 | PA      | $10338250.00  | 0.59%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO IV DAC 4A                                           | CAPITAL FOUR CLO CFOUR 4A ARR 144A                      | CUSIP: ACI38L038<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $691407.89    | 0.04%             | 2038-04-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 535661 FN 01/31 FIXED VAR                     | CUSIP: 31384WB66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $96.32        | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                     | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A     | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5502591.44   | 0.31%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                  | GSAMP TRUST GSAMP 2004 WF M2                            | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14606 | PA      | $14937.54     | 0.00%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US LONG BOND(CBT) JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -899 | NC      | $3383656.06   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3                              | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR3 2A5        | CUSIP: 25150VAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2443983 | PA      | $2203174.71   | 0.13%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                         | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10117 | PA      | $10292.46     | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $779.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A25162 FG 05/34 FIXED 5.5             | CUSIP: 31297CWX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        632 | PA      | $639.20       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                               | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3          | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     927119 | PA      | $225483.69    | 0.01%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-112.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX9420 FN 03/53 FIXED 5                       | CUSIP: 3140NEPE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     530901 | PA      | $527087.54    | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A6         | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5700951 | PA      | $4781553.00   | 0.27%             | 2036-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                | WELLS FARGO + COMPANY SR UNSECURED 03/28 VAR            | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3471930.04   | 0.20%             | 2028-03-24      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QF6557 FR 01/53 FIXED 4               | CUSIP: 3133BUJA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     685561 | PA      | $649303.16    | 0.04%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     941000 | PA      | $938578.26    | 0.05%             | 2028-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO (AKA: DETROIT EDISON COMPANY)                        | DTE ELECTRIC CO 1ST MORTGAGE 03/36 4.85                 | CUSIP: 23338VBB1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1079846.64   | 0.06%             | 2036-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                            | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   56200000 | PA      | $16889231.30  | 0.96%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G01673 FG 04/34 FIXED 5.5             | CUSIP: 31283H2E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $206.74       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 929451 FN 05/38 FIXED 5.5                     | CUSIP: 31412MTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4425 | PA      | $4558.67      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.75000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-407.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 762626 FN 01/34 FIXED 5.5                     | CUSIP: 31404AHB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33658 | PA      | $34249.25     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 081136 G2 11/34 FLOATING VAR               | CUSIP: 36225DHN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        538 | PA      | $550.32       | 0.00%             | 2034-11-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888256 FN 02/37 FLOATING VAR                  | CUSIP: 31410FZV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1703 | PA      | $1751.30      | 0.00%             | 2037-02-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                            | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6801000 | PA      | $2119647.28   | 0.12%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                 | NORINCHUKIN BANK SR UNSECURED 144A 03/31 4.683          | CUSIP: 656029AR6<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |     800000 | PA      | $791233.99    | 0.05%             | 2031-03-10      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 835178 FN 09/35 FIXED 5.5                     | CUSIP: 31407M2K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148374 | PA      | $153121.43    | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 254692 FN 03/33 FIXED 5.5                     | CUSIP: 31371K2Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6645 | PA      | $6780.98      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                  | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 4.214 | CUSIP: 38122ND66<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $151675.08    | 0.01%             | 2050-06-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                          | CENCORA INC SR UNSECURED 05/32 3.625                    | CUSIP: ACI2X73C0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     700000 | PA      | $801066.31    | 0.05%             | 2032-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-10089.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1853.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                             | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/33 5.35        | CUSIP: 63633DAG9<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295370.24    | 0.02%             | 2033-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6445.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 683271 FN 02/33 FIXED 5.5                     | CUSIP: 31400CCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17411 | PA      | $17970.70     | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $2182238.28   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                           | FIDELITY NATL INFO SERV SR UNSECURED 03/28 4.45         | CUSIP: 31620MCA2<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     900000 | PA      | $897730.53    | 0.05%             | 2028-03-10      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-42.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $17518.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $19879.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-81184.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                   | CREDIT AGRICOLE SA 144A 01/37 VAR                       | CUSIP: 22535WAU1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1700000 | PA      | $1663860.81   | 0.09%             | 2037-01-12      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                        | VISTRA OPERATIONS CO LLC SR SECURED 144A 01/31 4.7      | CUSIP: 92840VAY8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     800000 | PA      | $787571.52    | 0.04%             | 2031-01-31      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19875922 | PA      | $20237567.98  | 1.15%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                     | MORGAN STANLEY PVT BANK SR UNSECURED 11/31 VAR          | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4923605.95   | 0.28%             | 2031-11-19      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 823358 FN 02/35 FLOATING VAR                  | CUSIP: 31406XWT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1544 | PA      | $1579.39      | 0.00%             | 2035-02-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -8900000 | NC      | $-7111.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.84200 12/26/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6505.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7547.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3400000 | PA      | $3389640.61   | 0.19%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5100000 | PA      | $-4106894.49  | -0.23%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-7538.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FB          | CUSIP: 38376R4Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     381017 | PA      | $386501.72    | 0.02%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $49449.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2020-1 DAC  20-1A                                   | BARINGS EURO CLO BABSE 2020 1A ARR 144A                 | CUSIP: ACI316LH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1732774.94   | 0.10%             | 2038-10-21      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                   | CENOVUS ENERGY INC SR UNSECURED 03/31 4.65              | CUSIP: 15135UBA6<br>LEI: 254900LJGL2N2XEMD470 | Long             | DBT              | CORP              | CA        |     700000 | PA      | $695398.56    | 0.04%             | 2031-03-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $30535.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT KRW SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3983.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                    | CAPITAL ONE FINANCIAL CO SR UNSECURED 01/32 VAR         | CUSIP: 14040HDP7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4137466.62   | 0.24%             | 2032-01-30      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -579750 | PA      | $-580597.73   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH                           | BANCO BTG PACTUAL/CAYMAN SR UNSECURED 144A 01/31 5.5    | CUSIP: 05971AAM3<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |    1300000 | PA      | $1257100.00   | 0.07%             | 2031-01-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AC6150 FN 11/39 FIXED 5.5                     | CUSIP: 31417SZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154686 | PA      | $159059.28    | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $11057.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.58600 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $79135.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST            | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/33 4.75        | CUSIP: 00774MBU8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1000000 | PA      | $972318.22    | 0.06%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                           | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR           | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2636848.94   | 0.15%             | 2029-03-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                      | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141476 | PA      | $74071.73     | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3293.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15462 | PA      | $13576.70     | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/44 4.625                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23200000 | PA      | $22454156.19  | 1.28%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                 | NORINCHUKIN BANK SR UNSECURED 144A 09/35 5.359          | CUSIP: 656029AQ8<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $398212.26    | 0.02%             | 2035-09-09      | Fixed         | 5.36%                 | 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      | $18720.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-80580.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267988 | PA      | $1265931.79   | 0.07%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 06/28 4                                 | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13300000 | PA      | $13357668.00  | 0.76%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-589.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1509.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10813.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                   | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/36 6.75        | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $529901.00    | 0.03%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $19801691.70  | 1.13%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128791 | PA      | $132567.78    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $8249.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                   | UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5         | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     124180 | PA      | $120821.15    | 0.01%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $81081.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889982 FN 11/38 FIXED VAR                     | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6382 | PA      | $6573.93      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5             | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178672 | PA      | $184984.92    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO/THE                                            | BROOKLYN UNION GAS CO SR UNSECURED 144A 07/54 6.415     | CUSIP: 114259AY0<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1221195.68   | 0.07%             | 2054-07-18      | Fixed         | 6.42%                 | 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      | $-33226.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                     | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        317 | PA      | $317.71       | 0.00%             | 2035-09-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                  | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A     | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1459996.32   | 0.08%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11539.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                                   | SANTOS FINANCE LTD COMPANY GUAR 144A 11/35 5.75         | CUSIP: 803014AC3<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |     500000 | PA      | $501568.09    | 0.03%             | 2035-11-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                  | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375          | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     189634 | PA      | $187340.49    | 0.01%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QA2045 FR 08/49 FIXED 3.5             | CUSIP: 31334YHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277753 | PA      | $257469.27    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W6                                         | FANNIEMAE WHOLE LOAN FNW 2004 W6 3A5                    | CUSIP: 31393YX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6351441 | PA      | $6656040.38   | 0.38%             | 2034-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                    | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A         | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     324701 | PA      | $324164.54    | 0.02%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14595.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-776.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $659181.39    | 0.04%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BW8859 FN 09/52 FIXED 4                       | CUSIP: 3140N1ZZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     347511 | PA      | $328957.41    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6233.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 5C37 A2       | CUSIP: 05494NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4975724.00   | 0.28%             | 2058-09-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1424.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-2210.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A1                                     | JP MORGAN MORTGAGE TRUST JPMMT 2004 A1 1A1              | CUSIP: 466247BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6456 | PA      | $5930.95      | 0.00%             | 2034-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX6752 FN 03/53 FIXED 5                       | CUSIP: 3140NBQE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166018 | PA      | $164452.78    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-94402.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                              | DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 04/31 4.5      | CUSIP: 233853BL3<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |     700000 | PA      | $687375.54    | 0.04%             | 2031-04-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-25766.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2268.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04604 FG 12/34 FIXED 5.5             | CUSIP: 3128M6NV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1690 | PA      | $1731.75      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $18973.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7600000 | NC      | $-6783.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0493 FN 08/30 FIXED 4                       | CUSIP: 31417YRP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3988 | PA      | $3963.76      | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $29907.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINANCE BV                                       | EMBRAER NETHERLANDS FINA COMPANY GUAR 02/35 5.98        | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |     750000 | PA      | $774656.25    | 0.04%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-12042.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TWD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $149.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QE8999 FR 08/52 FIXED 4               | CUSIP: 3133BJ7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     785674 | PA      | $745162.06    | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $5424.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA6287 G2 11/49 FIXED 5                    | CUSIP: 36179U6Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221704 | PA      | $223936.57    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6818.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $819.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                          | NATIONAL FOOTBALL LEAGUE 5YR OCT SR SEC                 | CUSIP: 958BJNII0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $994985.33    | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                              | GA GLOBAL FUNDING TRUST SECURED 144A 09/30 4.5          | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2167861.48   | 0.12%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 995049 FN 02/38 FIXED VAR                     | CUSIP: 31416BL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3050 | PA      | $3179.18      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                | ROMARK CREDIT FUNDING I, LTD. RCF 2025 4A A 144A        | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1307009.60   | 0.07%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2180.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-5427.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AA7356 FN 02/38 FIXED 4.5                     | CUSIP: 31416RE66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6967 | PA      | $6884.49      | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                 | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1          | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2116 | PA      | $1978.22      | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/44 4.5                               | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5100000 | PA      | $4878966.82   | 0.28%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                  | CHENIERE ENERGY INC SR UNSECURED 144A 07/36 5.2         | CUSIP: 16411RAP4<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1782316.01   | 0.10%             | 2036-07-30      | Fixed         | 5.20%                 | 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        |     185331 | PA      | $179289.22    | 0.01%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-40.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MB0681 G2 10/55 FIXED 3                    | CUSIP: 3618N5XK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     498189 | PA      | $445393.04    | 0.03%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                     | TENN VALLEY AUTHORITY SR UNSECURED 08/34 4.375          | CUSIP: 880591FB3<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    5400000 | PA      | $5429334.69   | 0.31%             | 2034-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1922.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4168500 | PA      | $-4182905.64  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-82260.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/28 6.8         | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2678884.62   | 0.15%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                  | UNITED KINGDOM GILT BONDS REGS 07/54 4.375              | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    4000000 | PA      | $4408542.52   | 0.25%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                   | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1318571.70   | 0.08%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $18105.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6490.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                  | CENTENE CORP SR UNSECURED 07/28 2.45                    | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1677399.30   | 0.10%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3799.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $437066.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                    | STORE CAPITAL LLC SR UNSECURED 144A 02/31 4.95          | CUSIP: 862123AC0<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     400000 | PA      | $396710.73    | 0.02%             | 2031-02-11      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     166000 | PA      | $165665.88    | 0.01%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                              | ENI SPA SR UNSECURED 144A 05/35 5.75                    | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     800000 | PA      | $830074.76    | 0.05%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $26787180.30  | 1.52%             | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX3687 FN 12/52 FIXED 4                       | CUSIP: 3140N8CZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     914361 | PA      | $865551.89    | 0.05%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5205.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888023 FN 06/36 FIXED VAR                     | CUSIP: 31410FSL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11381 | PA      | $11597.12     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | 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      | $-853043.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                       | LCM LTD PARTNERSHIP LCM 35A A1R 144A                    | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $998500.05    | 0.06%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                   | CANADIAN NATL RESOURCES SR UNSECURED 12/29 5            | CUSIP: 136385BD2<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     800000 | PA      | $812728.92    | 0.05%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                             | CONSTELLATION BRANDS INC SR UNSECURED 05/30 4.8         | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1006354.13   | 0.06%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                              | HCA INC COMPANY GUAR 11/32 4.6                          | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2335260.98   | 0.13%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2865.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91305 FG 06/30 FIXED 4.5             | CUSIP: 3128P7NW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280584 | PA      | $281281.34    | 0.02%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1284.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $16978.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $92056.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE CO LLC                                        | BLACKSTONE REG FINANCE COMPANY GUAR 11/30 4.3           | CUSIP: 092914AB6<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1871195.83   | 0.11%             | 2030-11-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1016.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                 | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M6         | CUSIP: 863576DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162911 | PA      | $162940.33    | 0.01%             | 2035-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO VI DAC 6A                                         | HAYFIN EMERALD CLO HAYEM 6A AR 144A                     | CUSIP: ACI30X675<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1617269.23   | 0.09%             | 2038-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1777234.81   | 0.10%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-12856.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1939.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                             | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                   | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $998500.05    | 0.06%             | 2034-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 003151 G2 10/31 FIXED 7                    | CUSIP: 36202DQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $467.84       | 0.00%             | 2031-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 930140 FN 11/38 FIXED 6                       | CUSIP: 31412NLV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1661 | PA      | $1734.16      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $17203.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04621 FG 05/35 FIXED 6               | CUSIP: 3128M6PE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2145 | PA      | $2194.80      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-465.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | IRS EUR 2.36000 10/07/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $49879.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $16545.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                        | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR       | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $303641.85    | 0.02%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 947005 FN 10/37 FIXED 6                       | CUSIP: 31413JR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11355 | PA      | $11886.02     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6646.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.75000 06/17/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $233238.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 743579 FN 11/33 FIXED 5.5                     | CUSIP: 31403BCQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4311 | PA      | $4334.77      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $33994.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3        | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4105000 | PA      | $2715394.79   | 0.15%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL CB6395 FN 02/53 FIXED 5                       | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     698268 | PA      | $692374.93    | 0.04%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4606.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TRY SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $90893.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-54695.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $9426.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                 | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR           | CUSIP: 92853KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     450000 | PA      | $450022.50    | 0.03%             | 2031-01-08      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-620523.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1996.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AL1953 FN 01/27 FIXED VAR                     | CUSIP: 3138EJE38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $59.91        | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4434.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                  | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR            | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     300000 | PA      | $310185.00    | 0.02%             | 2032-06-07      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                              | DUKE ENERGY FLORIDA LLC 1ST MORTGAGE 12/31 2.4          | CUSIP: 26444HAK7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     530000 | PA      | $473930.19    | 0.03%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3560.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 254637 FN 02/33 FIXED 5.5                     | CUSIP: 31371KZA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1211 | PA      | $1235.42      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $22854.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-749.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 983496 FN 07/35 FIXED 5.5                     | CUSIP: 31415LRR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7065 | PA      | $7284.20      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 745418 FN 04/36 FIXED VAR                     | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2321 | PA      | $2396.12      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $38391.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                           | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                   | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  520000000 | PA      | $2776719.07   | 0.16%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53000000 | PA      | $53947782.04  | 3.07%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                               | STANDARD CHARTERED PLC SR UNSECURED REGS 02/28 VAR      | CUSIP: G84228FY9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $508926.87    | 0.03%             | 2028-02-08      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $7213.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                  | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR            | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $248800.00    | 0.01%             | 2030-01-08      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0538 FN 10/30 FIXED 4.5                     | CUSIP: 31417YS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20683 | PA      | $20727.98     | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5532                                              | FREDDIE MAC FHR 5532 FA                                 | CUSIP: 3137HKPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1733300 | PA      | $1745149.19   | 0.10%             | 2055-04-25      | Floating      | 4.61%                 | 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        |    2117606 | PA      | $2118291.12   | 0.12%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                   | CREDIT AGRICOLE SA JR SUBORDINA REGS 12/99 VAR          | CUSIP: ACI2C4Z01<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $970159.65    | 0.06%             | 2028-09-23      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD IDR BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2879.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | ORACLE CORPORATION SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-81332.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-7070.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6566.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AE4704 FN 09/30 FIXED 4.5                     | CUSIP: 31419FGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1217 | PA      | $1215.32      | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AA2374 FN 03/39 FIXED 5.5                     | CUSIP: 31416KT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11099 | PA      | $11331.28     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                           | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1 | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    4900000 | PA      | $1527773.79   | 0.09%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 931983 FN 09/39 FIXED 5.5                     | CUSIP: 31412QM89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68041 | PA      | $69963.93     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2098000 | PA      | $1965592.49   | 0.11%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ZIONS BANCORPORATION NA (AKA: ZION BANK CAPITAL MARKETS)             | ZIONS BANCORP NA SR UNSECURED 02/29 VAR                 | CUSIP: 98971DAE0<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1092196.34   | 0.06%             | 2029-02-09      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 615006 FN 11/31 FIXED 7.5                     | CUSIP: 31388UGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $381.98       | 0.00%             | 2031-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7300000 | PA      | $7038553.06   | 0.40%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91295 FG 04/30 FIXED 4.5             | CUSIP: 3128P7NL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6396 | PA      | $6411.58      | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $28868.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $13829.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 03/29 2.375                             | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37200000 | PA      | $35682210.98  | 2.03%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888893 FN 08/37 FIXED VAR                     | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5015 | PA      | $5178.34      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $61281.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-35.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $11702.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     105000 | PA      | $104618.06    | 0.01%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04614 FG 02/34 FIXED 6               | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        249 | PA      | $255.72       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                           | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                   | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1040000000 | PA      | $4974280.58   | 0.28%             | 2054-12-20      | Fixed         | 2.30%                 | 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        |      55883 | PA      | $54464.21     | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO BANK OF AMERICA REVERSE REPO               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -297000 | PA      | $-298088.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1076.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/30 4.625                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14700000 | PA      | $15119753.94  | 0.86%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                  | ABBOTT LABORATORIES SR UNSECURED 03/36 4.65             | CUSIP: 002824BU3<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |     400000 | PA      | $391297.17    | 0.02%             | 2036-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QF0330 FR 09/52 FIXED 4               | CUSIP: 3133BMLK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     345673 | PA      | $328704.35    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 871251 FN 04/36 FIXED 5.5                     | CUSIP: 31409G5L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2423 | PA      | $2472.11      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G02781 FG 04/37 FIXED 5.5             | CUSIP: 3128M4M67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        658 | PA      | $679.30       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                      | PFP III PFP 2026 13 A 144A                              | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500577.38    | 0.03%             | 2043-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD KRW BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12803.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 676661 FN 01/33 FIXED 5.5                     | CUSIP: 31391TWW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1094.10      | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1640.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 07/28 4.125                             | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13900000 | PA      | $13997462.91  | 0.80%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4456.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 704101 FN 05/33 FIXED 5.5                     | CUSIP: 31401CGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2259 | PA      | $2279.38      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                    | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     495700 | PA      | $495088.18    | 0.03%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2603.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                      | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1981596.62   | 0.11%             | 2029-09-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| POST CLO 2022-1 LTD                                                  | POST CLO LTD POST 2022 1A AR 144A                       | CUSIP: 73742YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1100243.23   | 0.06%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 971726 FN 02/38 FIXED 5.5                     | CUSIP: 31414PA33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4086 | PA      | $4107.87      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 745428 FN 01/36 FIXED VAR                     | CUSIP: 31403DD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24562 | PA      | $25359.87     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1576 | PA      | $1595.37      | 0.00%             | 2033-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $12834.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                             | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR         | CUSIP: 539439BB4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $803594.06    | 0.05%             | 2028-11-26      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-101521.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $5231.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4250405.52   | 0.24%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 04/28 1.25                              | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19200000 | PA      | $18223499.90  | 1.04%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                             | AT+T INC SR UNSECURED 04/33 4.75                        | CUSIP: 00206RNG3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     900000 | PA      | $891739.67    | 0.05%             | 2033-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7700000 | NC      | $-22139.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                              | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3          | CUSIP: 86362TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     802240 | PA      | $523729.05    | 0.03%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                  | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR            | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     850000 | PA      | $887315.00    | 0.05%             | 2032-03-13      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-7986.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                | ENTERGY LOUISIANA LLC 1ST MORTGAGE 04/56 5.65           | CUSIP: 29364WBS6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2307240.89   | 0.13%             | 2056-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 929187 FN 03/38 FIXED 5.5                     | CUSIP: 31412MJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36677 | PA      | $37804.41     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 06/29 3.25                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31400000 | PA      | $30835168.01  | 1.75%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                             | AMERICAN EXPRESS CO SR UNSECURED 05/32 VAR              | CUSIP: ACI2X3ZW0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1367688.37   | 0.08%             | 2032-05-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NOK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-8858.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 252292 FN 12/28 FIXED 6                       | CUSIP: 31371HF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        278 | PA      | $283.83       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6294.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT GBP SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-7303.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3667.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                           | COPT DEFENSE PROP LP COMPANY GUAR 10/30 4.5             | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     400000 | PA      | $394999.96    | 0.02%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                   | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6         | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     548529 | PA      | $540909.74    | 0.03%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5535000 | PA      | $-5547718.20  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-2395.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2831.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                  | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C            | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25635 | PA      | $21384.19     | 0.00%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                      | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     900000 | PA      | $930600.00    | 0.05%             | 2027-01-07      | Floating      | 16.79%                | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                           | ARES STRATEGIC INCOME FU SR UNSECURED 144A 01/29 4.85   | CUSIP: 04020EAP2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     900000 | PA      | $871810.16    | 0.05%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                    | BARINGS EURO CLO DAC BABSE 2025 1A A 144A               | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1153634.46   | 0.07%             | 2039-08-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/2.61740 09/30/22-25Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3069053.87   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 310020 FN 11/35 FIXED VAR                     | CUSIP: 31374CK96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94478 | PA      | $97163.99     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | 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        |     110655 | PA      | $106751.30    | 0.01%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT TWD SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-994.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                    | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR              | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $258062.50    | 0.01%             | 2031-09-14      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-293663.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399990.89    | 0.02%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO MORGAN STANLEY                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -148250 | PA      | $-148278.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                     | NIAGARA MOHAWK POWER SR UNSECURED 144A 01/36 5.112      | CUSIP: 65364UAV8<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2361001.75   | 0.13%             | 2036-01-12      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO THE BANK OF NOVA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14476875 | PA      | $-14516292.32 | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $129.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/42 3.375                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78200000 | PA      | $65348929.49  | 3.72%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-4196.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEDTRONIC INC                                                        | MEDTRONIC INC COMPANY GUAR 10/30 2.95                   | CUSIP: ACI30CMY4<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |     200000 | PA      | $226508.33    | 0.01%             | 2030-10-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                 | JPMORGAN CHASE + CO SR UNSECURED 04/31 VAR              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5950000 | PA      | $6059147.22   | 0.34%             | 2031-04-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 992629 FN 11/38 FIXED 5.5                     | CUSIP: 31415XVW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10222 | PA      | $10434.96     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $5669.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QF2443 FR 11/52 FIXED 4               | CUSIP: 3133BPWC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146798 | PA      | $139079.97    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                   | PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/35 5.15         | CUSIP: 744448DC2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3689705.31   | 0.21%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $22187.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1309.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-30673.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT THB SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-5038.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                  | NATWEST MARKETS PLC SR UNSECURED 144A 03/30 VAR         | CUSIP: 63906YAQ1<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $504690.88    | 0.03%             | 2030-03-21      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-7192.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2282.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $34361.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-19595.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| O REILLY AUTOMOTIVE INC                                              | O REILLY AUTOMOTIVE INC SR UNSECURED 03/36 5.1          | CUSIP: 67103HAP2<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     300000 | PA      | $296187.15    | 0.02%             | 2036-03-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                  | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR            | CUSIP: 539694AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00    | 0.01%             | 2033-04-11      | Floating      | 4.05%                 | 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      | $-25912.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $178.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 10/28 4.875                             | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18600000 | PA      | $19076988.26  | 1.09%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3288.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2988.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888352 FN 05/37 FIXED VAR                     | CUSIP: 31410F5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2898 | PA      | $2992.45      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOUGHT MXN SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-17283.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/27 4.271       | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     600000 | PA      | $597391.00    | 0.03%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer