# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004419
**Filing Date:** 2025-11
**Character Count:** 792837
**Document Hash:** a1ab9c2e8a2f8ee8427d5e1d5a30b9f9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004419.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004419

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528229

**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 International Bond Fund (U.S. Dollar-Hedged) (Series ID: S000009678)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026516 | Institutional  | PFORX           |
| C000026517 | Administrative | PFRAX           |
| C000026518 | A              | PFOAX           |
| C000026520 | C              | PFOCX           |
| C000026522 | R              | PFRRX           |
| C000064132 | I-2            | PFBPX           |
| C000200438 | I-3            | PFONX           |

## 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 International Bond Fund (U.S. Dollar-Hedged)

- **b. EDGAR series identifier (if any):** S000009678

- **c. LEI of Series:** 549300NKY72DZUNDF872

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $31252892520.71

**Total Liabilities:** $15107762422.05

**Net Assets:** $16145130098.66

**Delayed Delivery Securities:** $182306329.54

**Cash Not Reported:** $98449089.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 254699.148600 | **1-Year:** 1671398.670000 | **5-Year:** 4656708.877200 | **10-Year:** 2537993.596900 | **30-Year:** 708278.896100

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

- **3-Month:** 45258.104700 | **1-Year:** 54864.967000 | **5-Year:** 223564.620300 | **10-Year:** 61194.213000 | **30-Year:** 75.234400

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026517 | -0.06%               | 0.45%                | 0.43%                |
| Class ID C000026518 | -0.07%               | 0.44%                | 0.42%                |
| Class ID C000026520 | -0.13%               | 0.37%                | 0.36%                |
| Class ID C000064132 | -0.04%               | 0.47%                | 0.44%                |
| Class ID C000200438 | -0.05%               | 0.46%                | 0.44%                |
| Class ID C000026522 | -0.09%               | 0.42%                | 0.40%                |
| Class ID C000026516 | -0.03%               | 0.48%                | 0.45%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $33107956.66             | $-340504781.85                             |
| Month 2  | $29876514.82             | $170943238.60                              |
| Month 3  | $22659370.34             | $24604622.55                               |

**Designated Index Information**

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

- **Index Identifier:** LG38TRUH

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)     | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                           | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         3994 | NC      | $7336862.61     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                                 | ARGENT SECURITIES INC. ARSI 2004 W3 A3                  | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136857 | PA      | $145319.89      | 0.00%             | 2034-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5445 FN 08/54 FIXED 6                       | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19649734 | PA      | $20099018.00    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-280105.35     | -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      | $-418466.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -185 | NC      | $-52127.85      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-38399.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1       | CUSIP: 07384M3X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54257 | PA      | $55385.45       | 0.00%             | 2035-01-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A6            | CUSIP: 12668WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       189950 | PA      | $181053.49      | 0.00%             | 2035-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25C 130.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -231 | NC      | $-24408.51      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10684 | PA      | $10503.41       | 0.00%             | 2032-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $39982.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008770 G2 12/25 FLOATING VAR               | CUSIP: 36202KW76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           14 | PA      | $14.44          | 0.00%             | 2025-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                                | HAYFIN EMERALD CLO HAYEM 14A A 144A                     | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      5500000 | PA      | $6474168.30     | 0.04%             | 2039-01-22      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                   | NEWGATE FUNDING PLC NGATE 2007 3X BA REGS               | CUSIP: B2NDQGII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1033133 | PA      | $1357560.35     | 0.01%             | 2050-12-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                      | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37626 | PA      | $25214.02       | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                   | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS               | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1366401 | PA      | $1492398.64     | 0.01%             | 2050-12-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1        | CUSIP: 161630AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35023 | PA      | $35087.90       | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-675313.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1100698.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -17560000 | NC      | $-11168.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       188000 | PA      | $185646.03      | 0.00%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $-121015.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 10/51 3.53                  | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    707500000 | PA      | $124738367.93   | 0.77%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $9354993.03     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM1 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM1 A1 144A          | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5347316 | PA      | $5344855.20     | 0.03%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                                  | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3600000 | PA      | $3612028.43     | 0.02%             | 2035-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| DRYDEN 73 EURO CLO 2019 DAC 19-73A                                            | DRYDEN EURO CLO DRYD 2019 73A A1 144A                   | CUSIP: ACI2JX3K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9495032 | PA      | $11159821.61    | 0.07%             | 2034-01-15      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $43940.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A        | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403381 | PA      | $382757.79      | 0.00%             | 2046-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                                     | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2         | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       979699 | PA      | $958100.78      | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | 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        |     18800000 | PA      | $18956849.53    | 0.12%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1         | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1129178 | PA      | $346748.08      | 0.00%             | 2047-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                    | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65           | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    238700000 | PA      | $174851492.50   | 1.08%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/28 2.625                   | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 226380130000 | PA      | $162818452.90   | 1.01%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1360954.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR          | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     32850000 | PA      | $33084296.38    | 0.20%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-67308.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/27 2.375                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6727686 | PA      | $6848980.19     | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | 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        |    204400000 | PA      | $62408802.87    | 0.39%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2          | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8710741 | PA      | $4527027.63     | 0.03%             | 2037-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19573352 | PA      | $17246484.95    | 0.11%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.00000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $15095246.73    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290508                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $245292.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $5670.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA3439 FN 11/53 FIXED 6.5                     | CUSIP: 3140A3ZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11832968 | PA      | $12241194.16    | 0.08%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/30 VAR                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     27600000 | PA      | $27910161.35    | 0.17%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.50000 12/18/24-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $6300491.31     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                                | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A             | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11717716 | PA      | $11720574.16    | 0.07%             | 2032-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA4666 FN 01/54 FIXED 6                       | CUSIP: 3140A5FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6353005 | PA      | $6501717.31     | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | INTESA SANPAOLO SPA 144A 11/33 VAR                      | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     13200000 | PA      | $15583179.88    | 0.10%             | 2033-11-21      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC5                                     | STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A5         | CUSIP: 86359SAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19167000 | PA      | $17935771.34    | 0.11%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75          | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1207000 | PA      | $1035325.47     | 0.01%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A1         | CUSIP: 00075WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3630996 | PA      | $2629735.72     | 0.02%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG44 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1841466.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     32055886 | PA      | $4108495.66     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-13794350.56   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/27 FIXED 2.332 | CUSIP: 38122NC67<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      5000000 | PA      | $4838505.50     | 0.03%             | 2027-06-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1A 144A      | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63003849 | PA      | $63305523.81    | 0.39%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-245789.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $504442.54      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DC0264 FN 08/54 FIXED 6.5                     | CUSIP: 3140AMJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10807946 | PA      | $11207160.68    | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9            | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    237800000 | PA      | $71662929.39    | 0.44%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260518                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2588.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $13778.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                          | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1          | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34692 | PA      | $30565.48       | 0.00%             | 2035-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                               | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      7842538 | PA      | $7848691.74     | 0.05%             | 2032-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                 | RMAC SECURITIES PLC RMACS 2007 NS1X A2B REGS            | CUSIP: B231LDII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       121367 | PA      | $118699.33      | 0.00%             | 2044-06-12      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A           | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6230000 | PA      | $8441564.12     | 0.05%             | 2049-12-21      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $116.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1              | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9124 | PA      | $8858.29        | 0.00%             | 2033-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-14422.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/29 6.625                   | CUSIP: ACI28T967<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     13100000 | PA      | $16658454.57    | 0.10%             | 2029-09-27      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-69.75         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/1.9000 12/18/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-3486048.60    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.95864 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-23503.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                               | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107664 | PA      | $68077.26       | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                            | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A          | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9800000 | PA      | $9811532.15     | 0.06%             | 2036-10-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A    | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     14400000 | PA      | $14451141.17    | 0.09%             | 2035-04-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-7653.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                                | BULGARIA SR UNSECURED REGS 07/45 4.125                  | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     20000000 | PA      | $22716236.65    | 0.14%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1518000 | PA      | $1510929.19     | 0.01%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2341738.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $45801.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-3687.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $14632.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-15165.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-20.69         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2704029.35    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-HOA1                                          | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 HOA1 A11       | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1300516 | PA      | $852115.27      | 0.01%             | 2047-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1         | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       231770 | PA      | $214106.27      | 0.00%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260129                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1980.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/30 VAR              | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     42000000 | PA      | $43033845.12    | 0.27%             | 2030-01-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| TOGETHER ASSET BACKED SECURITISATION 14 2025-1ST1 PLC 25-1ST1A                | TOGETHER ASSET BACKED SECURITI TOGET 2025 1ST1A A 144A  | CUSIP: ACI30HX54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7100000 | PA      | $9568361.24     | 0.06%             | 2066-08-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA INVESTMNT ISSUE BONDS 10/32 4.193              | CUSIP: ACI24V7D3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    125660000 | PA      | $31349776.53    | 0.19%             | 2032-10-07      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A1 144A    | CUSIP: 75585RRT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |      5276666 | PA      | $3694272.84     | 0.02%             | 2055-02-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-11705.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIX LTD 2018-1A                                               | SOUND POINT CLO LTD SNDPT 2018 1A A 144A                | CUSIP: 83610JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       642155 | PA      | $642689.73      | 0.00%             | 2031-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REVERSE REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4940000 | PA      | $-4941646.67    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-822.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                        | PROJECT FENNO EUR REVOLVER                              | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      2975724 | PA      | $3493651.30     | 0.02%             | 2028-07-10      | Floating      | 0.50%                 | Yes           |                  3 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7181375 | PA      | $3816535.54     | 0.02%             | 2046-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.50000 12/19/18-7Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2012.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                             | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B        | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1115297 | PA      | $364542.13      | 0.00%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFH5 PIMCO FXVAN CALL USD BRL 5.77000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -54300000 | NC      | $-112183.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-3229881.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS BNP PARIBAS                                 | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     12500000 | PA      | $12931726.63    | 0.08%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-104618.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $431127.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.92859 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1358455.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-37.49         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251211                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-5749.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $10905.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-123393.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A     | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5000000 | PA      | $5018433.60     | 0.03%             | 2035-07-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $4894.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.62           | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008971 G2 09/26 FLOATING VAR               | CUSIP: 36202K6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          159 | PA      | $158.54         | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-26519.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-R1                                              | ANGEL OAK MORTGAGE TRUST AOMT 2025 R1 A1 144A           | CUSIP: 034951AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24372450 | PA      | $24328012.11    | 0.15%             | 2062-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1          | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2138707 | PA      | $2050339.44     | 0.01%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                           | IMPAC CMB TRUST IMM 2004 8 1A                           | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45121 | PA      | $44714.62       | 0.00%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $119306.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.79748 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1198517.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 5A1          | CUSIP: 05946XJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111249 | PA      | $109667.06      | 0.00%             | 2034-11-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                            | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120810 | PA      | $119951.47      | 0.00%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.08           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-114735.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                                     | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      1700000 | PA      | $1701870.00     | 0.01%             | 2035-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $4119.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR6                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR6 1A        | CUSIP: 93935FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2130021 | PA      | $1822239.58     | 0.01%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                            | BLACKSTONE HOLDINGS FINA COMPANY GUAR 144A 06/34 3.5    | CUSIP: ACI25ZFG7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     12200000 | PA      | $14394718.91    | 0.09%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-5339.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23610 | PA      | $23867.08       | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $113600.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT BONDS 05/30 2.5                   | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     15800000 | PA      | $9934331.69     | 0.06%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1643335.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -56500000 | NC      | $-100931.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  DEC25 IFLL 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         4070 | NC      | $231959.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77864 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $439209.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251226                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1194.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.45000 10/20/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $79444.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FS8786 FN 07/54 FIXED VAR                     | CUSIP: 3140XQXQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2064224 | PA      | $2146749.99     | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5             | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42533166 | PA      | $43050162.60    | 0.27%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-17603850.12   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO DAC 11A                                                            | ARBOUR CLO ARBR 11A AR                                  | CUSIP: ACI2P5HV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3900000 | PA      | $4602522.62     | 0.03%             | 2038-05-15      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $283269.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL BILLS 11/25 0.00000                    | CUSIP: ACI2S28H1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   3500000000 | PA      | $2316926.76     | 0.01%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $824.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2522471 | PA      | $2019434.36     | 0.01%             | 2037-10-25      | Variable      | 5.14%                 | 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        |    213900000 | PA      | $210323859.38   | 1.30%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1        | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10712002 | PA      | $3446009.29     | 0.02%             | 2036-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)             | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22        | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |      3500000 | PA      | $4226329.96     | 0.03%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2016-2R                                         | NOMURA RESECURITIZATION TRUST NMRR 2016 2R 2A2 144A     | CUSIP: 65541FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7553330 | PA      | $6670118.78     | 0.04%             | 2037-12-26      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV1 A3B 144A  | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31474413 | PA      | $27353656.64    | 0.17%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34319326 | PA      | $33023236.17    | 0.20%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $542660.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $73457.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/33 3.5                               | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4970000 | PA      | $4825753.50     | 0.03%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                  | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2534425 | PA      | $2319982.27     | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15200000 | PA      | $14609603.12    | 0.09%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -12000000 | PA      | $-10113700.32   | -0.06%            | 2055-11-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-48280.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2003-FF5                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2003 FF5 M1          | CUSIP: 32027NFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2932775 | PA      | $3018505.90     | 0.02%             | 2034-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                                | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL A 144A     | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18800000 | PA      | $18129304.36    | 0.11%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNY BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $15.65          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                              | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1               | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72987 | PA      | $62632.52       | 0.00%             | 2037-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2                                        | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3195 | PA      | $3130.17        | 0.00%             | 2030-06-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 10/50 0.625              | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     38900000 | PA      | $18237563.04    | 0.11%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT COMPANY                                                 | GACI FIRST INVESTMENT COMPANY GUAR REGS 07/34 5.625     | CUSIP: ACI2TFXT7<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |     25800000 | PA      | $27281032.23    | 0.17%             | 2034-07-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3434.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251021                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-5261.68       | -0.00%            |  |  |  | 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        |      4936468 | PA      | $4526896.76     | 0.03%             | 2035-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     15200000 | PA      | $15224613.82    | 0.09%             | 2029-09-22      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                 | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4614 | PA      | $4378.62        | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                                                 | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS             | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1601513 | PA      | $2152207.34     | 0.01%             | 2049-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.2500 03/15/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-3096507.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $15869.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |            1 | NC      | $999107.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                            | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1502563.16     | 0.01%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $22262.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68878000 | PA      | $59312820.53    | 0.37%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-15543517.66   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $22079.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3       | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37876 | PA      | $28491.82       | 0.00%             | 2036-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1481829.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                                      | UBS AG STAMFORD CT SR UNSECURED 07/27 5                 | CUSIP: 22550L2K6<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |      3900000 | PA      | $3966579.36     | 0.02%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-32552.35      | -0.00%            |  |  |  | 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        |     15441000 | PA      | $4925794.85     | 0.03%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-30446.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-4420411.93    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                           | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1           | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110658 | PA      | $63073.74       | 0.00%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 09/44 1.8                   | CUSIP: ACI2RXB31<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10720000000 | PA      | $64465702.40    | 0.40%             | 2044-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-7854.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED REGS 01/33 VAR     | CUSIP: ACI2T8KF7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10500000 | PA      | $12465581.71    | 0.08%             | 2033-01-23      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H6 MORTGAGE TRUST 2025-H6                                          | CROSS MORTGAGE TRUST CROSS 2025 H6 A1 144A              | CUSIP: 22758TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19484655 | PA      | $19549807.48    | 0.12%             | 2070-07-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     13600000 | PA      | $14407615.06    | 0.09%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 09/42 1.1                   | CUSIP: ACI29CD84<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9710000000 | PA      | $53903516.92    | 0.33%             | 2042-09-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.01           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2110 | PA      | $2093.74        | 0.00%             | 2034-04-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3773 FN 09/39 FIXED 4                       | CUSIP: 31418DFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9819 | PA      | $9650.82        | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $5545.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 07/32 3.582                   | CUSIP: ACI22Y4J9<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     23340000 | PA      | $5601866.70     | 0.03%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $63556.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-39625.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                   | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS              | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2631017 | PA      | $3053541.92     | 0.02%             | 2050-12-15      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.64           | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-60731.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-142930.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                  | BRISTOL MYERS SQUIBB CO BRISTOL MYERS SQUIBB CO         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     14300000 | PA      | $14834495.53    | 0.09%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/35 3 | CUSIP: ACI2XHL53<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     31100000 | PA      | $36343190.27    | 0.23%             | 2035-10-31      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND REPUBLIC OF POLAND                   | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      6100000 | PA      | $6249957.34     | 0.04%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $115057.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-33595.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-3215.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260102                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-7653923.69    | -0.05%            |  |  |  | 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        |    103836088 | PA      | $100673423.03   | 0.62%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-13320954.60   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2             | CUSIP: BMF7LTII5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     34900000 | PA      | $17705414.06    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A2        | CUSIP: 86360JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27545 | PA      | $16999.43       | 0.00%             | 2046-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.50000 12/18/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3168353.14     | 0.02%             |  |  |  | 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        |       172558 | PA      | $166375.22      | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORPORATION 11/25 ZCP                            | CUSIP: 6840C2YK5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     18000000 | PA      | $17894417.40    | 0.11%             | 2025-11-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     58714000 | NC      | $59007.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $24865213.92    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080409 G2 05/30 FLOATING VAR               | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6961 | PA      | $6958.65        | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-430697.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A           | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     13928551 | PA      | $18799937.33    | 0.12%             | 2049-12-21      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A          | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12411 | PA      | $12065.31       | 0.00%             | 2033-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-6                                                           | IMPAC CMB TRUST IMM 2004 6 1A2                          | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19031 | PA      | $19035.93       | 0.00%             | 2034-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     14835000 | PA      | $17193711.04    | 0.11%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2219 | NC      | $-380573.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-927998.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1                    | ACE SECURITIES CORP. ACE 2006 HE1 M1                    | CUSIP: 004421WR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15628334 | PA      | $14037762.12    | 0.09%             | 2036-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.14           | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | 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        |     14700000 | PA      | $10340244.16    | 0.06%             | 2041-02-15      | Fixed         | 1.88%                 | 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        |   2951000000 | PA      | $17024148.09    | 0.11%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP GST                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-820778.23     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-89834.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-14878.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                                            | ELMWOOD CLO 15 LTD ELM15 2022 2A A1R 144A               | CUSIP: 29003JAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2500000 | PA      | $2509508.95     | 0.02%             | 2035-04-22      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23597 | PA      | $22313.42       | 0.00%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5Y9 PIMCO FXVAN PUT EUR USD 1.11500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      5400000 | NC      | $2434.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.34250 01/10/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $3079757.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C D 144A        | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6000000 | PA      | $5799920.40     | 0.04%             | 2055-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B            | CUSIP: 61755AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2428023 | PA      | $1880121.29     | 0.01%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                            | PRP ADVISORS, LLC PRPM 2024 RPL3 A1 144A                | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3617480 | PA      | $3540048.78     | 0.02%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-9894.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1        | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       294860 | PA      | $241673.57      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-143454.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.99598 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-130935.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RLA3 PIMCO FXVAN PUT EUR CZK 24.20000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     44502781 | NC      | $233603.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                       | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A B 144A       | CUSIP: 83407UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3796000 | PA      | $3850272.66     | 0.02%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND BONDS 02/30 4.875                    | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     10000000 | PA      | $10298788.00    | 0.06%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.96415 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-55936.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      3600000 | PA      | $3537956.41     | 0.02%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC BARCLAYS PLC                               | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      9800000 | PA      | $9992313.04     | 0.06%             | 2028-03-12      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2          | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285304 | PA      | $192127.35      | 0.00%             | 2036-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                     | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A2 144A      | CUSIP: 21050QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9080000 | PA      | $9289652.66     | 0.06%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A           | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3115000 | PA      | $4195645.89     | 0.03%             | 2049-12-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-152556.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8        | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      4200000 | PA      | $3828536.96     | 0.02%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-2035888.26    | -0.01%            |  |  |  | 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        |     11500000 | PA      | $12013925.92    | 0.07%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                  | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47327029 | PA      | $43182067.34    | 0.27%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.34250 05/16/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |            1 | NC      | $309082.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-508426.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDY3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     12600000 | PA      | $12747817.28    | 0.08%             | 2031-07-08      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $14157.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-972563.85     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375  | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     18700000 | PA      | $22181100.84    | 0.14%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4066932.79    | -0.03%            |  |  |  | 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        |     13103289 | PA      | $15388662.29    | 0.10%             | 2033-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                                         | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                  | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4800000 | PA      | $4819126.85     | 0.03%             | 2035-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $6250500.91     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                            | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2506 | PA      | $2502.01        | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-7103.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-715.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QG4720 FR 06/53 FIXED 5.5             | CUSIP: 3133C5G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4646810 | PA      | $4700510.56     | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $4045.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $12333.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-42815.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.8800 12/04/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-464257.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $10121.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $56278.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QB8321 FR 01/51 FIXED 2.5             | CUSIP: 3133AFG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1130039 | PA      | $957303.55      | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BTP FUTURE   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         9569 | NC      | $8715019.98     | 0.05%             |  |  |  | No            |                  1 | 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        |         4035 | PA      | $3805.27        | 0.00%             | 2034-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                   | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS               | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       833172 | PA      | $953586.14      | 0.01%             | 2050-12-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-5765176.23    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $36346.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 11/35 VAR         | CUSIP: 539439BA6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     12300000 | PA      | $12790791.03    | 0.08%             | 2035-11-26      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1270316 | PA      | $1283205.56     | 0.01%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                  | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15808661 | PA      | $14427948.24    | 0.09%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-9973547.11    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55       | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      3300000 | PA      | $2925887.35     | 0.02%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 01/28 VAR                              | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      8200000 | PA      | $8021615.23     | 0.05%             | 2028-01-07      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $6886.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      9285000 | NC      | $9396.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      9000000 | PA      | $10542676.79    | 0.07%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1        | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11633 | PA      | $11507.78       | 0.00%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2194.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-47371.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2768701 | PA      | $2832302.29     | 0.02%             | 2058-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-765862.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DC3280 FN 09/54 FIXED 6.5                     | CUSIP: 3140AQUE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11398573 | PA      | $11800211.79    | 0.07%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/54 4.5                               | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    343300000 | PA      | $330640812.50   | 2.05%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A3A       | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       296312 | PA      | $282167.36      | 0.00%             | 2046-07-25      | Floating      | 5.09%                 | 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        |     12408556 | PA      | $12555669.26    | 0.08%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5                   | CUSIP: ACI0PP6W6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   5480000000 | PA      | $24286755.25    | 0.15%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-75135.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A          | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37623 | PA      | $36567.43       | 0.00%             | 2034-02-27      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.92500 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $3199929.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC                               | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 2A AR 144A    | CUSIP: ACI2QLH16<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3065005 | PA      | $3598524.15     | 0.02%             | 2033-01-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1        | CUSIP: 17313CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       947157 | PA      | $950767.05      | 0.01%             | 2037-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $5076947.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                               | PHILIP MORRIS INTL INC SR UNSECURED 02/29 4.875         | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     13000000 | PA      | $13284316.89    | 0.08%             | 2029-02-13      | Fixed         | 4.88%                 | 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        |        54976 | PA      | $53023.90       | 0.00%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R9L3 PIMCO FXVAN CALL USD SEK 10.12500000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      7554000 | NC      | $60.43          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/30 1.375                   | CUSIP: ACI1LSN29<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  38824610000 | PA      | $26109616.50    | 0.16%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-32077.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-4                                                 | SEQUOIA MORTGAGE TRUST SEMT 2005 4 2A1                  | CUSIP: 81744FJG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10853 | PA      | $10995.95       | 0.00%             | 2035-04-20      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                  | HUNGARY HUNGARY                                         | CUSIP: 445545AU0<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      5800000 | PA      | $5857178.08     | 0.04%             | 2036-03-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC7                                        | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC7 1A2        | CUSIP: 86358ECT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2340720 | PA      | $2292257.18     | 0.01%             | 2033-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A     | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2488193 | PA      | $2072575.10     | 0.01%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                                     | FANNIE MAE FNR 2025 16 FA                               | CUSIP: 3136BU5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17005035 | PA      | $17074347.18    | 0.11%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QI4422 FR 05/54 FIXED 6               | CUSIP: 3133WA4F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6618145 | PA      | $6789714.29     | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BOBL FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -5936 | NC      | $1081589.29     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.65000 04/12/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1135153.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                                     | FANNIE MAE FNR 2024 90 FA                               | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29385633 | PA      | $29680873.33    | 0.18%             | 2054-12-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $140125.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-50497.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2           | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       620780 | PA      | $621357.80      | 0.00%             | 2036-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC3                                       | STRUCTURED ASSET SECURITIES CO SASC 2007 BC3 1A3        | CUSIP: 86363WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2167023 | PA      | $2132158.99     | 0.01%             | 2047-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A           | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3137379 | PA      | $2691428.82     | 0.02%             | 2037-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS SEK 2.47375 02/03/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |            1 | NC      | $1593808.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5421 FN 07/54 FIXED 6                       | CUSIP: 31418FAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1841687 | PA      | $1883776.15     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8364 FR 09/53 FIXED 6.5             | CUSIP: 3132DWJH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       452883 | PA      | $468514.33      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77259 03/04/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1043353.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $1777955.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $25666.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $93354.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     16100000 | PA      | $16583871.17    | 0.10%             | 2030-01-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B       | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5877101 | PA      | $2210168.93     | 0.01%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $278398.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3590 FN 02/39 FIXED 4                       | CUSIP: 31418C7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93481 | PA      | $91986.16       | 0.00%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR                | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      5000000 | PA      | $4925623.70     | 0.03%             | 2030-05-22      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $119502.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                    | BUONI POLIENNALI DEL TES SR UNSECURED REGS 08/27 2.1    | CUSIP: ACI2Y9764<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    270300000 | PA      | $316596957.80   | 1.96%             | 2027-08-26      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |            2 | PA      | $0.21           | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                       | FREDDIE MAC FHR 5508 AF                                 | CUSIP: 3137HJFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9540006 | PA      | $9562655.18     | 0.06%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R9K5 PIMCO FXVAN PUT AUD USD 0.62250000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     29478000 | NC      | $234.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95          | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       900000 | PA      | $673527.60      | 0.00%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                            | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A               | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4679573 | PA      | $4676202.73     | 0.03%             | 2036-10-16      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15958000000 | PA      | $98912946.68    | 0.61%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR4                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5         | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63195 | PA      | $61373.46       | 0.00%             | 2035-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $7755.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFRA TRUST 2025-NQM3                                                          | MFRA TRUST MFRA 2025 NQM3 A1 144A                       | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27145013 | PA      | $27255243.64    | 0.17%             | 2070-08-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                                        | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                  | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     13100000 | PA      | $13153395.86    | 0.08%             | 2035-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-280600.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                 | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A    | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9900000 | PA      | $9934709.50     | 0.06%             | 2035-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO PARIBAS                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2130740 | PA      | $-2133225.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                         | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A6         | CUSIP: 57645MAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3216881 | PA      | $1051976.68     | 0.01%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1097535.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2006-2X                                                          | EUROSAIL PLC ESAIL 2006 2X B1A REGS                     | CUSIP: ACI01IBW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       379941 | PA      | $445574.86      | 0.00%             | 2044-12-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                  | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162281 | PA      | $152587.75      | 0.00%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $1507742.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 12/33 3.25                    | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    132000000 | PA      | $96253518.86    | 0.60%             | 2033-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.4000 03/14/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-2909015.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1          | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25457 | PA      | $21387.31       | 0.00%             | 2046-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                            | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50559201 | PA      | $43908244.24    | 0.27%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/28 FIXED 2.532 | CUSIP: 38122NC75<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      3300000 | PA      | $3142970.82     | 0.02%             | 2028-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      4500000 | PA      | $4613335.07     | 0.03%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7           | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    461300000 | PA      | $25338645.40    | 0.16%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-26868.73      | -0.00%            |  |  |  | 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        |      1100000 | PA      | $1291455.73     | 0.01%             | 2035-07-15      | Floating      | 2.96%                 | No            |                  3 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 01/28 VAR      | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     11100000 | PA      | $10859800.55    | 0.07%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $474607.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 02/34 3.75                    | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       900000 | PA      | $922377.64      | 0.01%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                   | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   6332000000 | PA      | $35793344.29    | 0.22%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DD6416 FN 04/55 FIXED 6.5                     | CUSIP: 3140B7DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12355294 | PA      | $12781782.93    | 0.08%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-9254.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -34122000 | NC      | $-22315.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      5157500 | NC      | $105935.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8 2020-8A                                                    | OCEAN TRAILS CLO OCTR 2020 8A ARR                       | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11700000 | PA      | $11717832.91    | 0.07%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C            | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8093840 | PA      | $4773275.01     | 0.03%             | 2036-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-3285039.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING SECURED 144A 07/26 VAR            | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |      3200000 | PA      | $3207865.18     | 0.02%             | 2026-07-16      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $407.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $347143.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                          | EUROSAIL PLC ESAIL 2007 3X A3C REGS                     | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       119543 | PA      | $160867.49      | 0.00%             | 2045-06-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $13423.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                 | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS            | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       869800 | PA      | $1156407.93     | 0.01%             | 2044-06-12      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $65123.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C B 144A        | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3000000 | PA      | $3012708.90     | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                               | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA       | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   2119600000 | PA      | $24124455.66    | 0.15%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080471 G2 11/30 FLOATING VAR               | CUSIP: 36225CQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          351 | PA      | $351.97         | 0.00%             | 2030-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-825349.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-6066991.19    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A22         | CUSIP: 05951GBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108572 | PA      | $82635.58       | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $30361.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 08/33 VAR                | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     61000000 | PA      | $67309503.28    | 0.42%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG       | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $182000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-534692.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/17/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3603823.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6318669 | PA      | $5766815.29     | 0.04%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PANTHEON SENIOR DEBT SECONDARIES III                                          | PANTHEON SNR DBT SCNDRS IIIUSD TERM LOAN                | CUSIP: BA000HYC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5200000 | PA      | $5200619.32     | 0.03%             | 2026-03-26      | Floating      | 6.38%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |            1 | NC      | $17848.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.93000 06/25/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $43617.00       | 0.00%             |  |  |  | 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        |     31502839 | PA      | $27141699.09    | 0.17%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                               | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68311 | PA      | $68673.97       | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $29963.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR          | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4077 | PA      | $4179.16        | 0.00%             | 2035-09-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260713                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $8308.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                          | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    161100000 | PA      | $161100000.00   | 1.00%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $16401910.89    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                               | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2           | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     23400000 | PA      | $12788595.73    | 0.08%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4405250 | PA      | $4313727.17     | 0.03%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $394732.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                  | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5615651 | PA      | $5125149.51     | 0.03%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                     | BANQUE FED CRED MUTUEL 144A 01/27 5.088                 | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     13900000 | PA      | $14075824.99    | 0.09%             | 2027-01-23      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1612668.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                    | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA E 144A      | CUSIP: 21050UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       547000 | PA      | $557258.11      | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.95913 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-17455.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     19550000 | PA      | $20115948.65    | 0.12%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350578 | PA      | $304741.48      | 0.00%             | 2037-09-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR              | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15179667.30    | 0.09%             | 2030-10-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $125846.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                             | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A    | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     25000000 | PA      | $29436350.02    | 0.18%             | 2038-08-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -14000000 | NC      | $-55022.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.8500 12/31/24-5Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $1877843.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2006-3X                                                   | NEWGATE FUNDING PLC NGATE 2006 3X A3A REGS              | CUSIP: B1H0JWII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        24558 | PA      | $32489.18       | 0.00%             | 2050-12-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-17763.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20260129                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-1554.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $3468.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $4181.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251124                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-11831.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1932 | PA      | $226.29         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-504.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178886 | PA      | $174103.73      | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-75154.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                       | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A D 144A       | CUSIP: 83407UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2177000 | PA      | $2253188.97     | 0.01%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1051531.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $87765.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 05/13/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1037057.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5             | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3712654 | PA      | $3135935.05     | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RMC8 PIMCO FXVAN PUT EUR CZK 24.20000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     15897000 | NC      | $85629.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $7169.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                       | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31611762 | PA      | $31736517.73    | 0.20%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA1535 FN 02/48 FIXED 3.5                     | CUSIP: 3140Q8V51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6009469 | PA      | $5591369.34     | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FS8200 FN 06/54 FIXED VAR                     | CUSIP: 3140XQDE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4506204 | PA      | $4616048.67     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/28 4                                 | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10200000 | PA      | $10291441.37    | 0.06%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7988 G2 04/52 FIXED 3                    | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69091294 | PA      | $61745520.82    | 0.38%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO110626                              | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  15694000000 | PA      | $9311364.87     | 0.06%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                       | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3355673 | PA      | $3286415.01     | 0.02%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP BANK OF AMERICA CORP               | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     11000000 | PA      | $11493054.98    | 0.07%             | 2035-01-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                              | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2A1A              | CUSIP: 1266943Y2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       141210 | PA      | $131135.09      | 0.00%             | 2036-05-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-30636.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      7400000 | PA      | $7220139.15     | 0.04%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                     | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A R 144A       | CUSIP: 21050QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2345059 | PA      | $1155731.34     | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21398 | PA      | $19695.32       | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     15700000 | PA      | $16689446.34    | 0.10%             | 2029-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $2806.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                  | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146939 | PA      | $134824.92      | 0.00%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-19868.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QX4018 FR 01/55 FIXED 6.5             | CUSIP: 31425YPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10185551 | PA      | $10617766.53    | 0.07%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 1A           | CUSIP: 12667LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1293200 | PA      | $1251575.49     | 0.01%             | 2035-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-4869.28       | -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        |      1346570 | PA      | $1237465.00     | 0.01%             | 2035-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $508.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.65                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      9200000 | PA      | $9418279.20     | 0.06%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| 365BANK A S                                                                   | 365 BANK AS REGS 07/28 VAR                              | CUSIP: ACI2PW0Z6<br>LEI: 315700PLTAXHBHZP5J02 | Long             | DBT              | CORP              | SK        |     10900000 | PA      | $13738072.44    | 0.09%             | 2028-07-04      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    382000000 | PA      | $341068551.02   | 2.11%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                                        | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A AR 144A         | CUSIP: ACI2Z96Y3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8300000 | PA      | $9776148.25     | 0.06%             | 2039-10-18      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-23.40         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.60000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-3160539.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $445278.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A4A         | CUSIP: 17312VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128039 | PA      | $124564.73      | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA3 1A1       | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       436225 | PA      | $404934.04      | 0.00%             | 2047-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                      | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     17231324 | PA      | $23233340.92    | 0.14%             | 2053-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG       | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $208000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00000 06/20/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-430372.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                     | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A B 144A       | CUSIP: 21050QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2228000 | PA      | $2269268.80     | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                   | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10823000000 | PA      | $56115518.68    | 0.35%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86629 03/18/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $294671.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080109 G2 08/27 FLOATING VAR               | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2121 | PA      | $2131.39        | 0.00%             | 2027-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-507976.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                               | AES CORP DISC COML PAPER 10/25 ZCP                      | CUSIP: 00809GX77<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     15200000 | PA      | $15186759.28    | 0.09%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-525.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                               | EXPORT DEVELOPMNT CANADA GOVT GUARANT REGS 01/30 4.5    | CUSIP: ACI2TC0K9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |      6200000 | PA      | $8420009.41     | 0.05%             | 2030-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $230708.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT 2022-3 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2022 3 A2 144A                    | CUSIP: 12659YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8518957 | PA      | $8231903.03     | 0.05%             | 2067-02-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       497911 | PA      | $457468.09      | 0.00%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $28405.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                   | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9715000000 | PA      | $38926349.87    | 0.24%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 09/35 4.75   | CUSIP: ACI2MHTY4<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     23400000 | PA      | $15356519.75    | 0.10%             | 2035-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $20866.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $23050.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     10800000 | PA      | $11147867.46    | 0.07%             | 2035-07-19      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8E0 PIMCO FXVAN PUT EUR USD 1.14500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     83407000 | NC      | $6462.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-2087648.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $945307.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $65625.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A1       | CUSIP: 46628TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2132289 | PA      | $1920471.85     | 0.01%             | 2036-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $1343924.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2003-HE2                                        | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE2 M1        | CUSIP: 04541GDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       225998 | PA      | $226375.94      | 0.00%             | 2033-04-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                       | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23200000 | PA      | $22122689.44    | 0.14%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-4                                        | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 4 M1          | CUSIP: 64352VDK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3526800 | PA      | $3539513.19     | 0.02%             | 2033-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6989 FN 06/53 FIXED 5.5                     | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3203379 | PA      | $3238665.26     | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-2983.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-160956.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     14737425 | PA      | $16117477.12    | 0.10%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49967 | PA      | $49929.48       | 0.00%             | 2045-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/40 2.625                      | CUSIP: ACI1T3QG2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      7700000 | PA      | $5793315.43     | 0.04%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1766728.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-45730.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $1463618.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           15 | PA      | $1.84           | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $25037.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR      | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     18000000 | PA      | $18241481.16    | 0.11%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UA9UA7 PIMCO SWAPTION 2.61 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -5200000 | NC      | $-449.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C C 144A        | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3000000 | PA      | $2959345.20     | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $178.90         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $155016.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB5288 FN 06/54 FIXED 6                       | CUSIP: 3140AE2W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6735791 | PA      | $6987208.37     | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                            | CREDIT AGRICOLE SA 144A 01/36 VAR                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     27562000 | PA      | $28990903.11    | 0.18%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $193015.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                  | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |      6700000 | PA      | $7866139.44     | 0.05%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $512921.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                             | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                 | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9800000 | PA      | $9814210.00     | 0.06%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $19486.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                             | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3706064 | PA      | $4354321.16     | 0.03%             | 2031-10-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                               | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1 | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     59100000 | PA      | $30552271.76    | 0.19%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $16988.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-6621.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $165469.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1156203.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-79039.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                                | BULGARIA SR UNSECURED REGS 07/35 3.375                  | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     22400000 | PA      | $25806948.50    | 0.16%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $3413.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3          | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14364580 | PA      | $4309210.17     | 0.03%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                                     | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8603771 | PA      | $8638755.77     | 0.05%             | 2055-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $639.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 05/35 1.65                  | CUSIP: BT6F11II5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1745400000 | PA      | $241394776.98   | 1.50%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                                | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A7         | CUSIP: 05949A6J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38313 | PA      | $35094.59       | 0.00%             | 2035-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.10000 12/31/25-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1048594.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 04/26 1                | CUSIP: ACI1X50B1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    509200000 | PA      | $79760411.10    | 0.49%             | 2026-04-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                        | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3009 | PA      | $1370.27        | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 11/34 2.04                  | CUSIP: BS1HX9II6<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1397700000 | PA      | $199810512.61   | 1.24%             | 2034-11-25      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1019551.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR          | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     14700000 | PA      | $15351601.90    | 0.10%             | 2036-01-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BO9993 FN 12/49 FIXED 4                       | CUSIP: 3140K6C78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55989 | PA      | $53600.14       | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-28104.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                     | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A          | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2867670 | PA      | $2881120.02     | 0.02%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-171822.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-84526.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/31 VAR           | CUSIP: 606822DN1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      7600000 | PA      | $7633091.24     | 0.05%             | 2031-09-12      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFD4 PIMCO FXVAN PUT EUR CZK 24.20000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     17017000 | NC      | $82492.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.50000 09/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $1630629.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA3 A1         | CUSIP: 25150WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       219820 | PA      | $206232.37      | 0.00%             | 2047-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5272 FN 02/54 FIXED 6                       | CUSIP: 31418E2E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13335183 | PA      | $13662538.34    | 0.08%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1        | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6109 | PA      | $2584.39        | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A          | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123134 | PA      | $121177.67      | 0.00%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -38786000 | NC      | $-25366.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $1751.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED REGS 01/34 VAR                | CUSIP: ACI2BD3K3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      8200000 | PA      | $10630811.34    | 0.07%             | 2034-01-29      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $51761.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 05/32 VAR                              | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      9900000 | PA      | $9046653.86     | 0.06%             | 2032-05-28      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.70000 05/31/24-9Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-2311980.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 10Y BOND FUT DEC25 XSFE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -10233 | NC      | $1922056.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107314 | PA      | $95216.13       | 0.00%             | 2046-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $9812.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                         | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1          | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10425 | PA      | $10547.14       | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                  | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 10/31 4.375  | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     47100000 | PA      | $47176997.67    | 0.29%             | 2031-10-02      | Fixed         | 4.38%                 | 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        |     49300000 | PA      | $50896883.20    | 0.32%             | 2031-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $2207211.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $488754.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      4100000 | PA      | $4089213.60     | 0.03%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 09/54 2.19                  | CUSIP: BRT57JII1<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    846400000 | PA      | $117606487.22   | 0.73%             | 2054-09-25      | Fixed         | 2.19%                 | 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        |     22400000 | PA      | $26382588.36    | 0.16%             | 2038-01-22      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 3A1        | CUSIP: 25151XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5637890 | PA      | $4896032.36     | 0.03%             | 2047-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO260626                              | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  40737394000 | PA      | $23987993.70    | 0.15%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 06/62 3.95          | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8700000 | PA      | $5508351.58     | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1618456 | PA      | $83198.67       | 0.00%             | 2038-01-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-196523.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $301.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8425 G2 11/52 FIXED 3.5                  | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       340683 | PA      | $311998.34      | 0.00%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-14668.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                  | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       196954 | PA      | $180411.85      | 0.00%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-85514.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.1800 11/25/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-3877797.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75   | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    199070000 | PA      | $104548889.09   | 0.65%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375       | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     21100000 | PA      | $21062012.40    | 0.13%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QI7525 FR 06/54 FIXED 6               | CUSIP: 3133WELE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6420004 | PA      | $6582566.70     | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1        | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1979632 | PA      | $1770401.58     | 0.01%             | 2037-02-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 06/32 3.775       | CUSIP: B75489II5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    977460000 | PA      | $34908153.10    | 0.22%             | 2032-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5217 FN 12/53 FIXED 6.5                     | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55814365 | PA      | $57747784.91    | 0.36%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     34100000 | PA      | $25757488.20    | 0.16%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5             | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14451576 | PA      | $14583999.63    | 0.09%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                             | KOREA HOUSING FINANCE CO COVERED REGS 09/30 2.765       | CUSIP: ACI2ZX6R5<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |     28100000 | PA      | $32973998.30    | 0.20%             | 2030-09-02      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     13000000 | PA      | $15737785.18    | 0.10%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-2X                                                   | NEWGATE FUNDING PLC NGATE 2007 2X M REGS                | CUSIP: B1YXNZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1905410 | PA      | $2443335.01     | 0.02%             | 2050-12-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R9N9 PIMCO FXVAN PUT EUR USD 1.12900000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     67663000 | NC      | $2383.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-8192.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $33652.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8486 G2 12/52 FIXED 3                    | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       594509 | PA      | $532317.06      | 0.00%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A4             | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3331361 | PA      | $1679343.18     | 0.01%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $15925.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.11518 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-365932.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                             | GPMT LTD. GPMT 2021 FL3 A 144A                          | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      2162757 | PA      | $2158422.05     | 0.01%             | 2035-07-16      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1A                                     | BRACCAN MORTGAGE FUNDING BRACN 2025 1A A 144A           | CUSIP: ACI2X1P88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     13199981 | PA      | $17845653.74    | 0.11%             | 2067-05-17      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |            1 | NC      | $252720.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $35109.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-311.15        | -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      | $-1155153.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-9                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 9 M2            | CUSIP: 1266736F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11466555 | PA      | $11321990.79    | 0.07%             | 2036-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED REGS 01/31 VAR        | CUSIP: ACI2TCJG8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3400000 | PA      | $4029100.00     | 0.02%             | 2031-01-28      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $350674.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 773348 FN 06/35 FLOATING VAR                  | CUSIP: 31404NEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60840 | PA      | $62387.60       | 0.00%             | 2035-06-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE        | TELECOM SERBIA EUR TERM LOAN A                          | CUSIP: BA0005336<br>LEI: 254900OVY0XI1DFYC092 | Long             | LON              | CORP              | LU        |     19400000 | PA      | $22721004.80    | 0.14%             | 2029-06-11      | Floating      | 3.40%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00500 09/29/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-165203.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $-64184.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                                       | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A         | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     11500000 | PA      | $11546603.18    | 0.07%             | 2035-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.06500 06/26/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-440887.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.70000 12/31/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3675938.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         2960 | NC      | $871826.24      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $53513.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       300000 | PA      | $304847.24      | 0.00%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-130572.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABEA0 PIMCO SWAPTION 3.807 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -55900000 | NC      | $-14841.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5097956 | PA      | $4281828.08     | 0.03%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $2784.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2122.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6635149 | PA      | $5510112.72     | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/61 3.404      | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      4500000 | PA      | $3110796.50     | 0.02%             | 2061-04-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $873364.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1917.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $110195.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-256387.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-74301.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-74066.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-43921.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $380720.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37105 | PA      | $36010.91       | 0.00%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/53 1.4                   | CUSIP: BN6TYWII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1390000000 | PA      | $6547949.42     | 0.04%             | 2053-03-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25          | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     34900000 | PA      | $22746783.43    | 0.14%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.8468* 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-495708.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52758 | PA      | $48869.63       | 0.00%             | 2036-03-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM3 2025-NQM3                                                      | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 NQM3 A1 144A   | CUSIP: 26846YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35477812 | PA      | $35797825.91    | 0.22%             | 2070-08-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A         | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          485 | PA      | $213003.50      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $107.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                            | CUSIP: 22823PXM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      2900000 | PA      | $2892184.50     | 0.02%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16116656 | PA      | $14635895.99    | 0.09%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $1101446.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                    | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9300000 | PA      | $9315615.63     | 0.06%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $52678.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $9375.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1978900000 | PA      | $1961462724.76  | 12.15%            | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $24548.92       | 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      | $-18204.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 28 LTD 28A                                                            | KKR FINANCIAL CLO LTD KKR 28A AR 144A                   | CUSIP: 48253WAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14400000 | PA      | $14454633.02    | 0.09%             | 2035-02-09      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/26 5                       | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      7300000 | PA      | $8783805.61     | 0.05%             | 2026-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 09/28 VAR                | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     10500000 | PA      | $10765899.48    | 0.07%             | 2028-09-30      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A         | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4894 | PA      | $4673.40        | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95          | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       100000 | PA      | $85905.13       | 0.00%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-171369.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-123745.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBSORA/1.50000 09/17/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |            1 | NC      | $463921.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                                         | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3         | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       256369 | PA      | $199887.29      | 0.00%             | 2036-08-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326A3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -161390000 | PA      | $-147176148.68  | -0.91%            | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-56749.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -58714000 | NC      | $-37342.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 04/26 1                 | CUSIP: ACI2TQPH8<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    553400000 | PA      | $86686756.16    | 0.54%             | 2026-04-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDX5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      8100000 | PA      | $8148471.62     | 0.05%             | 2031-07-08      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145874 | PA      | $152006.06      | 0.00%             | 2034-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-161092.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $172.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2.12           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $39971.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300516                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $167420.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                         | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A5         | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10810829 | PA      | $3537113.11     | 0.02%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 07/30 VAR              | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      6700000 | PA      | $6874186.73     | 0.04%             | 2030-07-22      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                 | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                   | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       187487 | PA      | $195168.51      | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6008500 | PA      | $-6013582.19    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-8856.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5328 FN 04/54 FIXED 6                       | CUSIP: 31418E4N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    185509259 | PA      | $189866305.25   | 1.18%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $7062702.52     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $9670.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5316671 | PA      | $4413666.63     | 0.03%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $11288.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-R1                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2          | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89603 | PA      | $24145.85       | 0.00%             | 2046-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/31 VAR           | CUSIP: 606822DM3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     31000000 | PA      | $31116877.75    | 0.19%             | 2031-09-12      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $515.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $61863.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A     | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22800000 | PA      | $21943155.48    | 0.14%             | 2038-12-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $810.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $-39880.94      | -0.00%            |  |  |  | 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        |    123570000 | PA      | $139138606.82   | 0.86%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-37423.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                     | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A1 144A      | CUSIP: 21050QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4467060 | PA      | $4498836.43     | 0.03%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-3051.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N7309<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.62           | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-697743.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     17900000 | PA      | $13509818.59    | 0.08%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-41.4 GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $-7194112.92    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8550000 | PA      | $6430535.20     | 0.04%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 3A3       | CUSIP: 93363EAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       572629 | PA      | $520569.26      | 0.00%             | 2046-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8D2 PIMCO FXVAN PUT AUD USD 0.62500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     40761000 | NC      | $80.91          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-54900.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251030                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $9258.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                                | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5    | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |      3800000 | PA      | $3387349.68     | 0.02%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                          | GSAMP TRUST GSAMP 2007 HE2 A2C                          | CUSIP: 362440AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1122851 | PA      | $850648.97      | 0.01%             | 2047-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $333413.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.70000 04/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-654632.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-949172.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $346844.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA0863 FN 08/53 FIXED 4                       | CUSIP: 3140A05Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       834234 | PA      | $787605.74      | 0.00%             | 2053-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-161.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB2414 FN 06/54 FIXED 6                       | CUSIP: 3140ABVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1787281 | PA      | $1828765.08     | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1         | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15457 | PA      | $14463.75       | 0.00%             | 2033-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-44.33         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     43117576 | PA      | $5549157.18     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A           | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1780000 | PA      | $2368066.71     | 0.01%             | 2049-12-21      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $184622.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                    | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA R 144A      | CUSIP: 21050UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1581056 | PA      | $788739.16      | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 01/32 2                       | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      1400000 | PA      | $1363934.57     | 0.01%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                           | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75             | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     95200000 | PA      | $110631249.47   | 0.69%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $118115.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 02/35 VAR                | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2200000 | PA      | $2318614.65     | 0.01%             | 2035-02-08      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG45 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1596958.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC          | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62414 | PA      | $59834.86       | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       236698 | PA      | $219112.93      | 0.00%             | 2037-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2052282 | PA      | $1969822.60     | 0.01%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFG7 PIMCO FXVAN PUT USD BRL 5.48000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     54300000 | NC      | $1506553.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                    | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6          | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      5900000 | PA      | $8205804.59     | 0.05%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-13724995.92   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-49903.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                                                 | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS            | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2370846 | PA      | $3117595.39     | 0.02%             | 2044-06-12      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-2259981.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251229                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-3034.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-170267.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $186565.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $651585.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251211                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $187810.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-641.17        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $57104.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                          | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2579655 | PA      | $2596382.79     | 0.02%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                    | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A2 144A     | CUSIP: 21050UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5260000 | PA      | $5384251.72     | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| QATARENERGY                                                                   | QATAR ENERGY SR UNSECURED 144A 07/31 2.25               | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     10200000 | PA      | $9192635.25     | 0.06%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-60867.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-17937.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1      | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44568 | PA      | $39498.15       | 0.00%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZM3772 FR 07/47 FIXED 4               | CUSIP: 3131XXFM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       337066 | PA      | $323280.20      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $51828.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $373485.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-157939.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0463 FN 03/60 FIXED 3                       | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8699687 | PA      | $7615248.61     | 0.05%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8081702 | PA      | $7811203.38     | 0.05%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A11      | CUSIP: 12668AJK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2963432 | PA      | $1535114.24     | 0.01%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1745 | NC      | $1179605.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-18157.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $167156.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-860168.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO MORGAN STANLEY                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8842571 | PA      | $-8852150.45    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2017 BV 17-1A                                                | BNPP AM EURO CLO BNPAM 2017 1A AR 144A                  | CUSIP: ACI1G3M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1846945 | PA      | $2169660.86     | 0.01%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                        | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       370170 | PA      | $33419.08       | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $2528.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-15301.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A          | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1901587 | PA      | $1878448.48     | 0.01%             | 2045-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $258106.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2683196.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                           | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A        | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3856704 | PA      | $3407101.56     | 0.02%             | 2037-12-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     17560000 | NC      | $17647.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-4376.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $157588.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6842 | PA      | $6921.19        | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                  | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       199880 | PA      | $191483.75      | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-1478.86       | -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        |    105600000 | PA      | $29459603.40    | 0.18%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                  | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126691393 | PA      | $115670972.49   | 0.72%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -262 | NC      | $-29203.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                                           | TIKEHAU TIKEH 5A AR 144A                                | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     11600000 | PA      | $13605479.01    | 0.08%             | 2038-10-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75   | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      5700000 | PA      | $6627577.04     | 0.04%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                     | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A E 144A       | CUSIP: 21050QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       834000 | PA      | $850642.47      | 0.01%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO MERRILL LYNCH                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -525168 | PA      | $-525999.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                            | INDIGO CREDIT MANAGEMENT INDI 2A A 144A                 | CUSIP: ACI2RZY31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     28000000 | PA      | $32960618.58    | 0.20%             | 2038-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $5818.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $176417.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                              | ABN AMRO BANK NV 144A 12/35 VAR                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     15200000 | PA      | $15797563.38    | 0.10%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $22034.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -5700000 | NC      | $-1542.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACCUNIA EUROPEAN CLO I DAC 1A                                                 | ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A                   | CUSIP: ACI19ZJ97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |       672373 | PA      | $789814.49      | 0.00%             | 2030-07-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-20291.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $6686.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                  | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       209606 | PA      | $191616.58      | 0.00%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                                 | GSAA HOME EQUITY TRUST GSAA 2006 7 AF2                  | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       777032 | PA      | $275774.30      | 0.00%             | 2046-03-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $67480.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-937913.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-172299.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-384456.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RNL7 PIMCO FXVAN PUT EUR CZK 24.10000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     40056000 | NC      | $162998.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A        | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       502499 | PA      | $497972.48      | 0.00%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                       | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A A 144A       | CUSIP: 83407UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27128948 | PA      | $27292020.10    | 0.17%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      4002000 | NC      | $80190.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2014.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/53 5      | CUSIP: 80413TBE8<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      1000000 | PA      | $905275.34      | 0.01%             | 2053-01-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1133 FN 10/53 FIXED 6.5                     | CUSIP: 3140A1HK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1688547 | PA      | $1748815.21     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $1914.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RMD6 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -39925000 | NC      | $-195512.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $169602.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $8432.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $133433.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $9355.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/49 1.75               | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     28000000 | PA      | $19371232.60    | 0.12%             | 2049-01-22      | Fixed         | 1.75%                 | 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        |      7680000 | PA      | $7616490.47     | 0.05%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       740266 | PA      | $618977.64      | 0.00%             | 2036-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-2752.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $296219.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A    | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $8851184.00     | 0.05%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     39750000 | PA      | $25380995.90    | 0.16%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3719378.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                               | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       842945 | PA      | $383462.59      | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-17694.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.32500 12/01/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $51247.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC HSBC HOLDINGS PLC                     | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     16900000 | PA      | $17258782.10    | 0.11%             | 2028-05-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A          | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       741180 | PA      | $678902.92      | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4        | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147292 | PA      | $117597.43      | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260630                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $4179.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5           | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       500000 | PA      | $341633.38      | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2          | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16476582 | PA      | $4028684.10     | 0.02%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                    | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A    | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2460885 | PA      | $2462761.57     | 0.02%             | 2030-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1       | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1038439 | PA      | $889274.76      | 0.01%             | 2036-09-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| EUROMASTER PLC 2007-1V                                                        | EUROMASTR PLC EMAST 2007 1V A2 REGS                     | CUSIP: ACI018DY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        54746 | PA      | $72610.73       | 0.00%             | 2040-06-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2        | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91223 | PA      | $85233.97       | 0.00%             | 2035-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                                   | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5100000 | PA      | $5122950.00     | 0.03%             | 2037-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFF9 PIMCO FXVAN PUT USD BRL 5.22000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -54300000 | NC      | $-165180.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     32444000 | NC      | $15767.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                       | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A            | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16762 | PA      | $15624.10       | 0.00%             | 2043-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/49 2.375                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      9225000 | PA      | $6038411.11     | 0.04%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BANK OF AMERICA REVERSE REPO               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -15032250 | PA      | $-15048221.77   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR6                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR6 A1         | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       652120 | PA      | $556860.53      | 0.00%             | 2047-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-9568765.27    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-14391.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-29537.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      5400000 | PA      | $702000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $28064.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 04/26 1             | CUSIP: ACI2SJ0L3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    111900000 | PA      | $17524760.89    | 0.11%             | 2026-04-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-158151.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                                        | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2         | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5312593 | PA      | $5305506.48     | 0.03%             | 2036-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                    | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA C 144A      | CUSIP: 21050UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       727000 | PA      | $738882.23      | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 3A AR 144A      | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4900000 | PA      | $4906613.29     | 0.03%             | 2034-07-24      | Floating      | 5.38%                 | 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        |       900000 | PA      | $855787.48      | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                  | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    105307615 | PA      | $96084547.86    | 0.60%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    308900000 | PA      | $317295120.48   | 1.97%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12964265 | PA      | $13399085.67    | 0.08%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2488290 | PA      | $1923206.95     | 0.01%             | 2047-10-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3740                                                       | FREDDIE MAC FHR 3740 DF                                 | CUSIP: 3137GAPP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       674681 | PA      | $668773.14      | 0.00%             | 2040-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                        | MARVELL TECHNOLOGY INC COMPANY GUAR 04/26 1.65          | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6400000 | PA      | $6307359.10     | 0.04%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $753512.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-183018.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11832743 | PA      | $10835667.95    | 0.07%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.24800 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $104063.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11636092 | PA      | $11388744.34    | 0.07%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-40.91         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 09/29 VAR                     | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      6600000 | PA      | $6991561.43     | 0.04%             | 2029-09-13      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251229                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-669.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-20Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2911715.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                         | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A           | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3002720.67     | 0.02%             | 2034-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-34CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 34CB 1A1      | CUSIP: 12667GW41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93353 | PA      | $52428.20       | 0.00%             | 2035-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -14100000 | PA      | $-13671140.18   | -0.08%            | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY STRUCTURED TRUST 2007-1                                        | MORGAN STANLEY STRUCTURED TRUS MSST 2007 1 A4           | CUSIP: 61755FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7126757 | PA      | $6582448.62     | 0.04%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.68           | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A    | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2693973 | PA      | $3160707.96     | 0.02%             | 2033-05-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| ST PAULS CLO II DAC 2A                                                        | ST PAULS CLO SPAUL 2A AR4 144A                          | CUSIP: ACI21LGL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8000000 | PA      | $9390155.82     | 0.06%             | 2035-10-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7295178 | PA      | $6959015.38     | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-388563.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-73666.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                    | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14200000 | PA      | $14218189.49    | 0.09%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B           | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       241700 | PA      | $170678.64      | 0.00%             | 2037-03-25      | Floating      | 5.63%                 | 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        |      1900000 | PA      | $1907134.80     | 0.01%             | 2035-01-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $170557.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $136708.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QO9                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO9 1A3A       | CUSIP: 75114PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       416274 | PA      | $370061.11      | 0.00%             | 2046-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2        | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3009223 | PA      | $2471115.81     | 0.02%             | 2035-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 03/30 2.75                    | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      3400000 | PA      | $2449531.13     | 0.02%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2566.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ8606 FN 04/48 FIXED 3.5                     | CUSIP: 3140HAR44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95930 | PA      | $88778.74       | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-529.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $538385.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A            | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4591035 | PA      | $4080944.93     | 0.03%             | 2047-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-2620487.41    | -0.02%            |  |  |  | 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      | $-1603539.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                               | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                 | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8235801 | PA      | $9675611.88     | 0.06%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/28 2.375                   | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 113568490000 | PA      | $80936205.50    | 0.50%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5107 FN 08/53 FIXED 5.5                     | CUSIP: 31418EU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23959949 | PA      | $24209071.03    | 0.15%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.66213 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-344037.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                           | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A3         | CUSIP: 55291KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6056960 | PA      | $2067116.86     | 0.01%             | 2036-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R9M1 PIMCO FXVAN PUT EUR USD 1.12200000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |      1148000 | NC      | $2199.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-136274.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                            | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6               | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    337100000 | PA      | $245524581.99   | 1.52%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-516527.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                                   | QATAR ENERGY SR UNSECURED 144A 07/51 3.3                | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      4600000 | PA      | $3246038.30     | 0.02%             | 2051-07-12      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $119775.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 3A1        | CUSIP: 12667FU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1656 | PA      | $1688.14        | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $158269.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 03/35 VAR                | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     51000000 | PA      | $53800978.65    | 0.33%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A4          | CUSIP: 12667HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10878401 | PA      | $9898300.42     | 0.06%             | 2047-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                  | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/35 5      | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      7400000 | PA      | $7563208.85     | 0.05%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                            | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A          | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       900000 | PA      | $900999.12      | 0.01%             | 2036-07-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6787.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 08/28 VAR                | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      4500000 | PA      | $4676529.69     | 0.03%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080187 G2 04/28 FLOATING VAR               | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          354 | PA      | $354.47         | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $161820.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA5502 FR 06/51 FIXED 3               | CUSIP: 3133KMDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       480525 | PA      | $423322.37      | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RJ2290 FR 08/54 FIXED 6               | CUSIP: 3142GSRL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12497897 | PA      | $12810324.62    | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/52 1.3                   | CUSIP: ACI26WF16<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1760000000 | PA      | $8167751.97     | 0.05%             | 2052-06-20      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $93502.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $15724.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-3332.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A          | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7919083 | PA      | $7939278.24     | 0.05%             | 2064-10-27      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                                           | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2          | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2405 | PA      | $2402.96        | 0.00%             | 2032-10-27      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-71991.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                      | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3        | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2020778 | PA      | $2040261.38     | 0.01%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2370.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $3857403.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      7700000 | PA      | $8022560.78     | 0.05%             | 2035-01-18      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORPORATION 01/26 ZCP                            | CUSIP: 6840C3AG8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     11200000 | PA      | $11061747.20    | 0.07%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 07/34 VAR      | CUSIP: 853254CU2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      5400000 | PA      | $5859146.61     | 0.04%             | 2034-07-06      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QJ0143 FR 07/54 FIXED 6.5             | CUSIP: 3133CQEQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9045613 | PA      | $9411944.45     | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BK0915 FN 07/48 FIXED 4                       | CUSIP: 3140HEAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4800 | PA      | $4614.16        | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-247896.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB7907 FN 11/53 FIXED 6.5                     | CUSIP: 3140QTYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62904041 | PA      | $65065234.03    | 0.40%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-60303.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1417937 | PA      | $1322144.02     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB4815 FN 04/27 FIXED 3.5                     | CUSIP: 31417BK55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          191 | PA      | $189.50         | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $27445.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT PANAMA SPV LIMITED LIABILITY CO                                       | PROJECT PANAMA SPV LLC 01/29 1                          | CUSIP: 74290GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15804000 | PA      | $15886608.30    | 0.10%             | 2029-01-03      | Floating      | 7.63%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $-245160.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A4          | CUSIP: 61752UAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       922748 | PA      | $479603.04      | 0.00%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $9794.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.00000 03/18/26-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-4221124.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RJ2098 FR 05/54 FIXED 6               | CUSIP: 3142GSKL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105131 | PA      | $107667.43      | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 07/30 1.75                       | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     12500000 | PA      | $12905898.67    | 0.08%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080407 G2 05/30 FLOATING VAR               | CUSIP: 36225CNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8139 | PA      | $8126.27        | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875  | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      7200000 | PA      | $7312611.31     | 0.05%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 1.75000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-1410883.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3 | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     91140000 | PA      | $106562125.13   | 0.66%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-31689.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.75000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-176783.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $4145381.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY 03/35 1                                  | CUSIP: ACI2NCY69<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     28400000 | PA      | $34242973.11    | 0.21%             | 2035-03-21      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1         | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38882 | PA      | $9650.61        | 0.00%             | 2046-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3         | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6866399 | PA      | $4669647.82     | 0.03%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $67064.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.82761 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1152272.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OLYMPUS CORPORATION                                                           | OLYMPUS CORP SR UNSECURED 144A 12/26 2.143              | CUSIP: 68163WAA7<br>LEI: 5299000Y52IFDI1I2A21 | Long             | DBT              | CORP              | JP        |      8700000 | PA      | $8480943.05     | 0.05%             | 2026-12-08      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-61774.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $132929.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $43688.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4261798.46    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       100809 | PA      | $73187.19       | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.94029 02/06/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $113705.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1B 144A      | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7033449 | PA      | $7046584.90     | 0.04%             | 2055-03-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.7500 12/18/18-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-2095987.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $2617268.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM3 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM3 A1 144A          | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5869140 | PA      | $5885391.91     | 0.04%             | 2063-02-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.03           | 0.00%             |  |  |  | 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        |       127807 | PA      | $80183.34       | 0.00%             | 2035-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-81.48         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/52 1                     | CUSIP: ACI24VWS2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   2860000000 | PA      | $12274879.81    | 0.08%             | 2052-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                         | AIR LEASE CORP DISC COML PAPER 10/25 ZCP                | CUSIP: 00913WXA8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      8950000 | PA      | $8938750.75     | 0.06%             | 2025-10-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-142722.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $330016.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251024                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $12391.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $18362.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-712281.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-5528.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC CITIGROUP INC                             | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     20900000 | PA      | $21442834.03    | 0.13%             | 2030-02-13      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINANCING I VMED O2 UK FINANCING I           | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     28600000 | PA      | $30083996.80    | 0.19%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $28997.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $29.99          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $230493.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       800000 | PA      | $604020.32      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-8978923.08    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $559706.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXF5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      4150000 | PA      | $4142043.21     | 0.03%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -56500000 | NC      | $-2056.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $4324.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -14000000 | NC      | $-3395.00       | -0.00%            |  |  |  | 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        |      7500000 | PA      | $7594715.40     | 0.05%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR3                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR3 1A1        | CUSIP: 45660L5N5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2990073 | PA      | $2140347.03     | 0.01%             | 2036-03-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 04/26 1                    | CUSIP: K1R19DGF8<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    106400000 | PA      | $16663902.93    | 0.10%             | 2026-04-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO X DAC 10A                                                  | HAYFIN EMERALD CLO HAYEM 10A AR                         | CUSIP: ACI2PCMS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     13600000 | PA      | $15967089.01    | 0.10%             | 2038-07-18      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                   | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15590000000 | PA      | $81820486.19    | 0.51%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1500000 | NC      | $-3359.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-66050.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1815887.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-81035.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FS2661 FN 07/52 FIXED VAR                     | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1816247 | PA      | $1775537.34     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2           | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     35900000 | PA      | $19997462.02    | 0.12%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $10492.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A      | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48321 | PA      | $42648.41       | 0.00%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR3                                             | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR3 2A2              | CUSIP: 23332UDX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3171 | PA      | $105.37         | 0.00%             | 2045-07-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.21300 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $24135989.61    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DC0374 FN 08/54 FIXED 6                       | CUSIP: 3140AMMY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6836758 | PA      | $6993166.89     | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123551 | PA      | $105034.97      | 0.00%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1500000 | NC      | $-925.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF INDUSTRY LIMITED                                                      | BANK OF INDUSTRY LIMITED 2024 EUR TERM LOAN B1          | CUSIP: BA000BY62<br>LEI: 5493006N5JD4B34R6G14 | Long             | LON              | MUN               | NG        |     12100000 | PA      | $14139713.56    | 0.09%             | 2027-08-23      | Floating      | 3.80%                 | 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        |       428542 | PA      | $288243.71      | 0.00%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                           | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4         | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       540754 | PA      | $323767.92      | 0.00%             | 2036-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUER WIEDERAUFBAU (KFW)                                         | KFW GOVT GUARANT REGS 02/30 4.25                        | CUSIP: ACI2TVKZ2<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     12800000 | PA      | $17234337.97    | 0.11%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9000000 | PA      | $8207356.95     | 0.05%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                             | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6500000 | PA      | $6500000.00     | 0.04%             | 2033-04-20      | Floating      | 5.01%                 | 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      | $-2055.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $160545.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB5291 FN 06/54 FIXED 6                       | CUSIP: 3140AE2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6195403 | PA      | $6405627.57     | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-7049672.01    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $10814.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A            | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3223771 | PA      | $2945159.96     | 0.02%             | 2037-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-166549.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -9030937 | PA      | $-9043112.06    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B       | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4005775 | PA      | $2952852.95     | 0.02%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR            | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       920000 | PA      | $448155.00      | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/53 1.5                | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     29830000 | PA      | $17368838.95    | 0.11%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR            | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $7590203.33     | 0.05%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DC1350 FN 08/54 FIXED 6.5                     | CUSIP: 3140ANQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12215189 | PA      | $12645077.25    | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 10/29 VAR              | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     20900000 | PA      | $22059888.14    | 0.14%             | 2029-10-23      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND REPUBLIC OF POLAND                   | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     14800000 | PA      | $15097056.13    | 0.09%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1           | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.66           | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125  | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     44400000 | PA      | $45376866.16    | 0.28%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5844102.23    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.5000 03/22/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-3713740.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080397 G2 04/30 FLOATING VAR               | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1088 | PA      | $1089.84        | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | JPN 10Y BOND(OSE) DEC25 XOSE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -1215 | NC      | $10548525.37    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1618456 | PA      | $1597190.15     | 0.01%             | 2038-01-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 03/28 2.125                   | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     14800000 | PA      | $16862838.01    | 0.10%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                                   | VIBRANT CLO LTD VIBR 2019 11A A1R1 144A                 | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4212302 | PA      | $4219253.45     | 0.03%             | 2032-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     38786000 | NC      | $39251.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-157694.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.3000 01/18/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-6009940.77    | -0.04%            |  |  |  | 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      | $1105268.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -56300000 | NC      | $-11890.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-901.49        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-7190.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                                | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                 | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6079594 | PA      | $2434785.56     | 0.02%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B      | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       644577 | PA      | $665345.71      | 0.00%             | 2046-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                                 | OCP EURO CLO OCPE 2020 4A ARR 144A                      | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9100000 | PA      | $10716749.16    | 0.07%             | 2039-10-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1085146.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.83603 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-788239.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF BRITISH COLUMBIA CANADA                                           | BRITISH COLUMBIA PROV OF UNSECURED 06/34 4.15           | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    102700000 | PA      | $77049298.36    | 0.48%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY 1.50000 03/18/26-4Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-2412758.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS REGS 02/28 0.75                  | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     95650000 | PA      | $108407945.04   | 0.67%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $618800.21      | 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        |     29289628 | PA      | $25345261.43    | 0.16%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1759.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT COMPANY                                                 | GACI FIRST INVESTMENT COMPANY GUAR REGS 01/34 5.25      | CUSIP: ACI2MLG86<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |      9300000 | PA      | $9601925.43     | 0.06%             | 2034-01-29      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6               | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4673247 | PA      | $4779842.91     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO III DAC 3A                                                         | AURIUM CLO ACLO 3A AR 144A                              | CUSIP: ACI1FVVB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2859095 | PA      | $3360495.09     | 0.02%             | 2030-04-16      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     10300000 | PA      | $10291663.39    | 0.06%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-372794.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      5732000 | PA      | $5856438.68     | 0.04%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38729 | PA      | $33605.01       | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    327820000 | PA      | $334858456.03   | 2.07%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $21990.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $167420.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        71954 | PA      | $62828.39       | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $68875.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZA7079 FR 06/39 FIXED 4               | CUSIP: 31329Q2L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110965 | PA      | $109107.17      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $55002.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS3X                                                 | RMAC SECURITIES PLC RMACS 2006 NS3X M1C REGS            | CUSIP: 99WKUBII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        53355 | PA      | $61373.89       | 0.00%             | 2044-06-12      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3           | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       600000 | PA      | $482026.18      | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -9285000 | NC      | $-6072.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A A 144A     | CUSIP: ACI2TS750<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     21100000 | PA      | $24760801.15    | 0.15%             | 2034-10-15      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2022-6 DAC 6A                                                    | OCP EURO CLO OCPE 2022 6A ARR 144A                      | CUSIP: ACI2YHRS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     12600000 | PA      | $14839365.71    | 0.09%             | 2036-07-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A3         | CUSIP: 43709XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3229409 | PA      | $2303862.63     | 0.01%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/50 0.7                   | CUSIP: BL6JRNII8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4080000000 | PA      | $16628445.08    | 0.10%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     38900000 | PA      | $40128800.82    | 0.25%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                       | BCAP LLC TRUST BCAP 2011 RR5 7A1 144A                   | CUSIP: 05534AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94973 | PA      | $93957.49       | 0.00%             | 2047-01-26      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-OAT FUTURE   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3437 | NC      | $-2942267.68    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C R 144A        | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         3910 | PA      | $48903.64       | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $2790.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-4905.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.16           | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $53982.83       | 0.00%             |  |  |  | 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        |     15655358 | PA      | $15693452.92    | 0.10%             | 2036-11-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $9938.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                   | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9023 | PA      | $9026.54        | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 1A2          | CUSIP: 17307GA57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       637173 | PA      | $573089.62      | 0.00%             | 2035-09-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      7400000 | PA      | $7453291.17     | 0.05%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $631949.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-10946.93      | -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        |      7522000 | PA      | $6945661.35     | 0.04%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3         | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1275118 | PA      | $265591.73      | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 10/25 0.125                             | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      5602365 | PA      | $5598228.38     | 0.03%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.18           | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8421 FR 04/54 FIXED 6               | CUSIP: 3132DWLA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5275523 | PA      | $5401991.09     | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-115                                                           | FANNIE MAE FNR 2010 115 FM                              | CUSIP: 31398NNS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64023 | PA      | $63578.31       | 0.00%             | 2040-10-25      | Floating      | 4.97%                 | 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        |       282836 | PA      | $373991.77      | 0.00%             | 2043-12-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8432 FR 05/54 FIXED 6               | CUSIP: 3132DWLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154424 | PA      | $158033.60      | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $371055.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $106772.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-561067.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB1033 FN 02/54 FIXED 6.5                     | CUSIP: 3140AAEF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1166993 | PA      | $1208178.14     | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                        | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27599 | PA      | $28745.74       | 0.00%             | 2035-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBSORA/2.00000 09/17/25-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |            1 | NC      | $-1942753.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $8858.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |     76176237 | PA      | $747365061.74   | 4.63%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $112887.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-3.71          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2        | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1242 | PA      | $1174.47        | 0.00%             | 2034-07-19      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | PROJECT MERCURY EUR TERM LOAN                           | CUSIP: 948FJBII0<br>LEI: 254900W94OCY91V32O78 | Long             | LON              | NUSS              | RS        |     23363636 | PA      | $28205845.95    | 0.17%             | 2030-08-11      | Floating      | 6.69%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     37839936 | PA      | $39550985.87    | 0.24%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS BNP PARIBAS                                 | CUSIP: 09659W2X1<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     13300000 | PA      | $13994253.88    | 0.09%             | 2035-02-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $167576.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $46494.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-58946.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/2.25000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-305608.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $-47623.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                  | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175417 | PA      | $165652.10      | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 04/26 4.55                    | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2600000 | PA      | $2607247.58     | 0.02%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-154550.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A   | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1369909 | PA      | $1253115.52     | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-3686.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1             | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561293 | PA      | $501696.52      | 0.00%             | 2036-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -37500000 | NC      | $-228716.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.01          | 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        |        72104 | PA      | $72005.03       | 0.00%             | 2037-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 37T1 A5       | CUSIP: 12667G2X0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       816414 | PA      | $489236.28      | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $78109.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 3.75000 06/15/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |            1 | NC      | $303972.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                   | TRINITY SQUARE TRINI 2021 1A AR 144A                    | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     19696209 | PA      | $26557850.82    | 0.16%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-167306.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 3A1        | CUSIP: 45660L4E6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3492774 | PA      | $2385879.79     | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $57201.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 3A1          | CUSIP: 058928AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23865 | PA      | $22720.85       | 0.00%             | 2036-03-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $57698.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $101067.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QJ2132 FR 08/54 FIXED 6.5             | CUSIP: 3133CSLM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10586138 | PA      | $10977769.71    | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-1405.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $16758.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-124132.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3428.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $1158549.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                              | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21             | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       534105 | PA      | $355511.62      | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 02/35 5.625                | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     15000000 | PA      | $15535439.55    | 0.10%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-OA1                                              | GSR MORTGAGE LOAN TRUST GSR 2007 OA1 1A1                | CUSIP: 3622NAAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2519517 | PA      | $1183411.80     | 0.01%             | 2037-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-118.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 04/53 3.19                  | CUSIP: ACI2FG9Z3<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |      8080000 | PA      | $1353213.77     | 0.01%             | 2053-04-15      | Fixed         | 3.19%                 | 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      | $-36495.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41219 | PA      | $11620.39       | 0.00%             | 2037-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                     | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4300000 | PA      | $4300000.00     | 0.03%             | 2034-07-10      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $49785.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                              | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A   | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11300000 | PA      | $11306254.44    | 0.07%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                               | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28120 | PA      | $21455.69       | 0.00%             | 2035-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                      | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/30 4.75       | CUSIP: 80414L2X2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      1300000 | PA      | $1318734.89     | 0.01%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-20556.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                            | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A              | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       156154 | PA      | $150140.92      | 0.00%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.11647 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-65297.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $357762.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.85961 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-928874.48     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY 03/27 1                                  | CUSIP: ACI2NCY93<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     26200000 | PA      | $30822962.00    | 0.19%             | 2027-03-19      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5167 FN 10/53 FIXED 6.5                     | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1094108 | PA      | $1132349.72     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 2A1        | CUSIP: 46627MBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2922737 | PA      | $1986234.85     | 0.01%             | 2035-12-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                                      | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A   | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31678 | PA      | $8542.08        | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-122995.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9          | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     10500000 | PA      | $10912286.18    | 0.07%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 12/22/25 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-11296407.14   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-1                                               | ANGEL OAK MORTGAGE TRUST AOMT 2023 1 A1 144A            | CUSIP: 03465WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9161137 | PA      | $9127086.80     | 0.06%             | 2067-09-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-14385829.51   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-51510.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                       | BCAP LLC TRUST BCAP 2011 RR4 8A1 144A                   | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       405368 | PA      | $154050.36      | 0.00%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251030                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $302.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8470 FR 10/54 FIXED 6               | CUSIP: 3132DWMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6121999 | PA      | $6255808.77     | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                      | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375      | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      8300000 | PA      | $8853811.03     | 0.05%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $757651.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-829545.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $19594.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1631289.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG REGS 11/30 VAR                         | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      3700000 | PA      | $4107737.52     | 0.03%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $13388.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-715036.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-6211.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.11131 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-800408.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                  | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83644413 | PA      | $76318441.38    | 0.47%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290502                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $347143.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-33121.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A      | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2400575 | PA      | $2150473.40     | 0.01%             | 2047-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 01/55 1.92                  | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    333600000 | PA      | $43684354.47    | 0.27%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-145.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                                        | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT        | CUSIP: 68383NCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       387707 | PA      | $382995.38      | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |     26663311 | PA      | $3423092.71     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39014 | PA      | $37099.90       | 0.00%             | 2045-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RJ2271 FR 05/54 FIXED 6               | CUSIP: 3142GSQZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5527129 | PA      | $5655339.30     | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $792.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 04/28 3.519                   | CUSIP: ACI2FJPF3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    765672000 | PA      | $183100946.35   | 1.13%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO V DAC 1A                                                    | TRINITAS EURO CLO TRNTE 1A AR 144A                      | CUSIP: ACI2XTDT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6000000 | PA      | $7064028.03     | 0.04%             | 2039-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                       | HARVEST CLO HARVT 16A ARR 144A                          | CUSIP: ACI1VVSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      5009858 | PA      | $5886793.37     | 0.04%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 04/34 VAR            | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20200000 | PA      | $20995526.10    | 0.13%             | 2034-04-24      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1          | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19471 | PA      | $18890.77       | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.15           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $3843.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1044300000 | PA      | $60687919.28    | 0.38%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                             | BDS LTD BDS 2022 FL11 ATS 144A                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12450845 | PA      | $12474420.27    | 0.08%             | 2039-03-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                       | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A4        | CUSIP: 93364EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3705474 | PA      | $3304949.66     | 0.02%             | 2037-05-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/31 5.125                   | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     38780000 | PA      | $45479146.75    | 0.28%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5                                      | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A5 1A4        | CUSIP: 466284AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5900579 | PA      | $5359269.27     | 0.03%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8914403 | PA      | $8258803.64     | 0.05%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -115100000 | PA      | $-105141793.16  | -0.65%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-41647.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $85955.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $13223.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4991670000 | PA      | $34462555.84    | 0.21%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $14933.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-12393.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KINBANE 2025-RPL 2 DAC  25-RPL2A                                              | KINBANE DAC KINBN 2025 RPL2A A 144A                     | CUSIP: ACI30K8H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     13300000 | PA      | $15617216.04    | 0.10%             | 2075-08-24      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS8                                           | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS8 MII1       | CUSIP: 76110WD52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       418926 | PA      | $411582.93      | 0.00%             | 2034-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                      | SAUDI ARABIAN OIL CO SR UNSECURED REGS 11/30 2.25       | CUSIP: ACI1SY321<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      1200000 | PA      | $1085844.00     | 0.01%             | 2030-11-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1281813 | PA      | $1261417.07     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-FS1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A   | CUSIP: 17313EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       749324 | PA      | $725867.11      | 0.00%             | 2037-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 03/19/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7576091.17     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75             | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     96750000 | PA      | $114887728.47   | 0.71%             | 2027-10-25      | Fixed         | 2.75%                 | 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        |      4719369 | PA      | $5547167.16     | 0.03%             | 2031-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-8371567.95    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $207.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4       | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3548514 | PA      | $3255201.77     | 0.02%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $1402.49        | 0.00%             |  |  |  | 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        |   9271000000 | PA      | $61070052.07    | 0.38%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-16847.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $278581.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-9465.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-636.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $137.33         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A         | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27215 | PA      | $24777.77       | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 3A1              | CUSIP: 466247WT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1932 | PA      | $1823.70        | 0.00%             | 2035-10-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15640679120 | PA      | $107560406.16   | 0.67%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                           | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A      | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2553228 | PA      | $2554959.85     | 0.02%             | 2032-07-23      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       600000 | PA      | $596074.06      | 0.00%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A3A           | CUSIP: 88522WAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1339117 | PA      | $1148549.24     | 0.01%             | 2037-06-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 12/60 2.78                | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      4700000 | PA      | $2635760.00     | 0.02%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-123062.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $43250.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A1         | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8650 | PA      | $7615.99        | 0.00%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1182458.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $48353.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-13244.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 732218 FN 06/43 FLOATING VAR                  | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8167 | PA      | $8253.49        | 0.00%             | 2043-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $561808.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-693737.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ          | CUSIP: 38383KMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11289215 | PA      | $11355663.51    | 0.07%             | 2073-12-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN CAPITAL TERRITORY                                                  | AUST CAPITAL TERRITORY SR UNSECURED REGS 10/30 4.75     | CUSIP: ACI2S54M7<br>LEI: 549300DFQM5A0MPGF178 | Long             | DBT              | MUN               | AU        |     67900000 | PA      | $46166655.64    | 0.29%             | 2030-10-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                            | SUMITOMO MITSUI TR BK LT SUMITOMO MITSUI TR BK LT       | CUSIP: 86563VBP3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |      4300000 | PA      | $4369417.31     | 0.03%             | 2027-03-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2271.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-6560778.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA 144A 01/29 VAR                             | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      9700000 | PA      | $10090412.97    | 0.06%             | 2029-01-18      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNY BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $6110.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-61026.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                       | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A R 144A       | CUSIP: 83407UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4019000 | PA      | $5437933.71     | 0.03%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QX2602 FR 01/55 FIXED 6.5             | CUSIP: 31425W3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7945502 | PA      | $8262552.43     | 0.05%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                      | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/35 5.375      | CUSIP: 80414L3B9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      1300000 | PA      | $1345491.97     | 0.01%             | 2035-06-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-2184.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-117433.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                     | BANQUE FED CRED MUTUEL 144A 07/26 5.896                 | CUSIP: 06675FBA4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     24800000 | PA      | $25146329.77    | 0.16%             | 2026-07-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $56415.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1092245.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-1868.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-100938.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 594243 FN 12/30 FLOATING VAR                  | CUSIP: 31387UEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1737 | PA      | $1752.68        | 0.00%             | 2030-12-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10516 | PA      | $10542.70       | 0.00%             | 2033-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                  | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155962282 | PA      | $142340467.40   | 0.88%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                            | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                  | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1796 | PA      | $1677.86        | 0.00%             | 2032-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                          | ROYAL BANK OF CANADA SR UNSECURED 02/31 VAR             | CUSIP: 78017DAD0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     40900000 | PA      | $40925487.24    | 0.25%             | 2031-02-04      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.65000 05/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-868022.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM2164 FN 06/38 FIXED VAR                     | CUSIP: 3140X5MN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154020 | PA      | $148989.77      | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $418935.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA 144A 01/31 VAR                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      3900000 | PA      | $4074291.12     | 0.03%             | 2031-01-14      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1         | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50935 | PA      | $37928.23       | 0.00%             | 2035-07-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-44.2 FAR                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $912096.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 12/53 1.75                    | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     20660000 | PA      | $9967450.18     | 0.06%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                         | ROMARK CREDIT FUNDING LTD RCF 2025 4A A 144A            | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11500000 | PA      | $11531050.00    | 0.07%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3        | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94260 | PA      | $85149.05       | 0.00%             | 2035-11-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A1            | CUSIP: 88522WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204575 | PA      | $191106.85      | 0.00%             | 2037-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A     | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       200142 | PA      | $165665.97      | 0.00%             | 2036-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                        | EUROSAIL PLC ESAIL 2007 6NCX A3A REGS                   | CUSIP: B29Q4HII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       454932 | PA      | $608747.70      | 0.00%             | 2045-09-13      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-58677.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A         | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31475 | PA      | $30825.79       | 0.00%             | 2034-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3561.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                           | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3        | CUSIP: 40430RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6110194 | PA      | $3067222.07     | 0.02%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M2         | CUSIP: 17309LAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11367075 | PA      | $11178946.40    | 0.07%             | 2036-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $1137117.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-167506.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $496153.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 3YR BOND FUT DEC25 XSFE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -750 | NC      | $181622.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-115057.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC CITIGROUP INC                             | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     23200000 | PA      | $24066198.22    | 0.15%             | 2035-06-11      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC         | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15697039.80    | 0.10%             | 2030-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1839365.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A       | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4800000 | PA      | $4372926.24     | 0.03%             | 2038-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1303376 | PA      | $1076138.01     | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $19013.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $161532.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0204A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -244800000 | PA      | $-225048676.75  | -1.39%            | 2040-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3 | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    254730000 | PA      | $306186684.97   | 1.90%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      3863740 | PA      | $2617683.85     | 0.02%             | 2030-07-09      | Variable      | 0.75%                 | 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      | $112049.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-41 CBK                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $1548228.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.8000 06/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-11425587.26   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                    | PRJCT ALFA INVSTINDUSTRAL VIII 2025 EUR TERM LOAN 2     | CUSIP: BA000GNP1<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | GB        |      3118500 | PA      | $3661276.99     | 0.02%             | 2026-02-27      | Floating      | 4.12%                 | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                          | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1         | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19528 | PA      | $15599.25       | 0.00%             | 2046-12-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 144A 02/31 2.45               | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       100000 | PA      | $90981.83       | 0.00%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         5923 | NC      | $6869887.44     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     55441500 | PA      | $51792339.92    | 0.32%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A5                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A9          | CUSIP: 59020UYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48273 | PA      | $46637.75       | 0.00%             | 2035-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $47326.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-118.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1132637.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-43953.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                            | FANNIE MAE FNR 2003 34 A1                               | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76984 | PA      | $77952.05       | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-91917.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -56300000 | NC      | $-187923.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 12/40 4.25               | CUSIP: B64605II9<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     40600000 | PA      | $49310257.55    | 0.31%             | 2040-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -416 | NC      | $-92796.96      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     91540341 | PA      | $90497720.32    | 0.56%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75   | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     32100000 | PA      | $32575977.84    | 0.20%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $70.31          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 01/28 VAR                   | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2544962.58     | 0.02%             | 2028-01-21      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO120626                              | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  15680000000 | PA      | $9298373.25     | 0.06%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-158534.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080393 G2 04/30 FLOATING VAR               | CUSIP: 36225CNK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11414 | PA      | $11401.44       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000     | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     33409000 | PA      | $25179528.08    | 0.16%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1593175.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RNO1 PIMCO FXVAN PUT EUR HUF 386.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     23908000 | NC      | $97400.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-212065.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          736 | PA      | $694.38         | 0.00%             | 2034-11-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $335.98         | 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      | $-407548.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                                          | CHARTER COMM OPETING LLC 2024 TERM LOAN B5              | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     12592211 | PA      | $12601277.45    | 0.08%             | 2031-12-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-118167.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1       | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4415890 | PA      | $3668463.18     | 0.02%             | 2047-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20260326                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-3524.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A2 144A    | CUSIP: 75585RRU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     16700000 | PA      | $11387247.25    | 0.07%             | 2055-02-12      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1873607.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/29 1.375                      | CUSIP: ACI1T3QY3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      9090000 | PA      | $9516009.71     | 0.06%             | 2029-12-02      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2006-2                                                    | NEWGATE FUNDING PLC NGATE 2006 2 BB REGS                | CUSIP: ACI00QQA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2300763 | PA      | $2556219.15     | 0.02%             | 2050-12-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | KINGDOM OF SPAIN SR UNSECURED 04/29 5.25                | CUSIP: 566648II4<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |       900000 | PA      | $1237692.15     | 0.01%             | 2029-04-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND BONDS 02/35 5.375                    | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      6000000 | PA      | $6239836.92     | 0.04%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND VII DAC 7A                                             | CORDATUS CLO PLC CORDA 7A ARR 144A                      | CUSIP: ACI1W2TC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3625155 | PA      | $4251646.36     | 0.03%             | 2031-09-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-29955.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     22900000 | PA      | $21707903.86    | 0.13%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1464583.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-163137.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $741540.56      | 0.00%             |  |  |  | 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      | $-600884.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $7.64           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $463826.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $21534.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A           | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       790888 | PA      | $732444.09      | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $1944092.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 03/30 VAR                   | CUSIP: ACI2NCY77<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     21900000 | PA      | $26437203.70    | 0.16%             | 2030-03-21      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-1295.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 4.75000 06/19/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |            1 | NC      | $4784217.64     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $34194.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000     | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    125050000 | PA      | $139682760.94   | 0.87%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $229342.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $238307.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $4646022.11     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                            | BACARDI MARTINI B V                                     | CUSIP: 05634EXW7<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2789173.24     | 0.02%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3121 FN 09/47 FIXED 4                       | CUSIP: 31418CPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66426 | PA      | $63889.24       | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                 | GSAA HOME EQUITY TRUST GSAA 2006 5 2A2                  | CUSIP: 362334GS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5818109 | PA      | $1867395.46     | 0.01%             | 2036-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                   | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10483000000 | PA      | $42905975.86    | 0.27%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 09/31 VAR                              | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      9700000 | PA      | $9197501.78     | 0.06%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $70480.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                            | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2300000 | PA      | $2307871.34     | 0.01%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $15.91          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-41.65 GST                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $128469.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QI6081 FR 05/54 FIXED 6               | CUSIP: 3133WCXJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5991273 | PA      | $6203809.63     | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $63829.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33188 | PA      | $31039.35       | 0.00%             | 2046-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A        | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       263133 | PA      | $162465.68      | 0.00%             | 2046-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A3         | CUSIP: 75116BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5401740 | PA      | $4501162.45     | 0.03%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-19348.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 02/28 VAR     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     13800000 | PA      | $13550127.54    | 0.08%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $29601.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                       | FREDDIE MAC FHR 5511 FB                                 | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10806682 | PA      | $10894805.98    | 0.07%             | 2055-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNICIPAL POWER INC                                                  | AMERICAN MUNI PWR OHIO INC OH AMEPWR 02/41 FIXED 7.834  | CUSIP: 02765UEJ9<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |       100000 | PA      | $120278.31      | 0.00%             | 2041-02-15      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-78533.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-79396.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-71938.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -248000000 | PA      | $-217881079.52  | -1.35%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251024                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1327.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG       | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $364000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260528                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $4922.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP LAS VEGAS SANDS CORP               | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     13900000 | PA      | $14187569.59    | 0.09%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B      | CUSIP: 02151WAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1033119 | PA      | $925585.00      | 0.01%             | 2047-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77660 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1164290.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     15200000 | PA      | $16177952.95    | 0.10%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080199 G2 05/28 FLOATING VAR               | CUSIP: 36225CGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          916 | PA      | $916.85         | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-C                                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 C 4A1         | CUSIP: 05949AZ37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48060 | PA      | $47252.68       | 0.00%             | 2035-04-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $14004996.52    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $20.75          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-180926.78     | -0.00%            |  |  |  | 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        |     45700000 | PA      | $34997968.94    | 0.22%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                        | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A              | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      5713391 | PA      | $6707810.50     | 0.04%             | 2028-07-10      | Floating      | 4.37%                 | Yes           |                  3 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                                | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1        | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       556724 | PA      | $516013.04      | 0.00%             | 2046-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                    | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A1 144A     | CUSIP: 21050UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1633695 | PA      | $1637298.01     | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20690 | PA      | $20612.14       | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $90614.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1096.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/41 2.75                       | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      4445000 | PA      | $3365041.06     | 0.02%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2466 | NC      | $-1032551.31    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                               | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1               | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202687 | PA      | $91465.31       | 0.00%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-609422.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       800000 | PA      | $802721.92      | 0.00%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                        | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1         | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2549 | PA      | $2161.54        | 0.00%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUXL 30Y BND DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          214 | NC      | $642698.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-29934.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/34 5      | CUSIP: 80413TBG3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     35500000 | PA      | $36403047.23    | 0.23%             | 2034-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       223138 | PA      | $218373.32      | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      5625000 | PA      | $731250.00      | 0.00%             | 2060-12-31      | None          | 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              | CORP              | LU        |     89200000 | PA      | $90610252.00    | 0.56%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFW2 PIMCO FXVAN PUT EUR HUF 393.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     20227997 | NC      | $225612.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-45434.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-234003.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                     | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A D 144A       | CUSIP: 21050QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1464000 | PA      | $1486418.67     | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2417.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00000 03/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-192141.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8462 FR 09/54 FIXED 5.5             | CUSIP: 3132DWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9923064 | PA      | $10019260.95    | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A1        | CUSIP: 126694R75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       304491 | PA      | $272896.14      | 0.00%             | 2046-05-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA 144A 01/36 VAR                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      8000000 | PA      | $8565093.36     | 0.05%             | 2036-01-14      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| CONTEGO CLO III BV 3A                                                         | CONTEGO CLO DAC CONTE 3A ARR 144A                       | CUSIP: ACI2ZDDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |     17200000 | PA      | $20261657.43    | 0.13%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1                | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8257 | PA      | $7843.08        | 0.00%             | 2035-04-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |            8 | PA      | $0.97           | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $705058.28      | 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        |      7100000 | PA      | $7336949.29     | 0.05%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                   | ICG US CLO LTD ICG 2021 3A AR 144A                      | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9900000 | PA      | $9911647.35     | 0.06%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-1.12          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4296409.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $10.66          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-602878.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65018534 | PA      | $56424910.83    | 0.35%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE 10/25 ZCP                                  | CUSIP: 22823PXP3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     30850000 | PA      | $30758810.49    | 0.19%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                                    | LCM LTD PARTNERSHIP LCM 36A A1R 144A                    | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2006438.88     | 0.01%             | 2034-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $13193.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A          | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5228161 | PA      | $5230779.64     | 0.03%             | 2029-10-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A     | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     12800000 | PA      | $12825573.25    | 0.08%             | 2035-04-22      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21672194 | PA      | $21689043.63    | 0.13%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $23990.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $143126.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                    | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA B 144A      | CUSIP: 21050UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1454000 | PA      | $1478466.46     | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5           | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       300000 | PA      | $261202.85      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 05/27 2 | CUSIP: ACI2M9V60<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     48200000 | PA      | $56959901.47    | 0.35%             | 2027-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH59 PIMCO FXVAN PUT USD BRL 5.47000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     26300000 | NC      | $699369.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                              | ROMARK CLO LTD RMRK 2021 5A AR 144A                     | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12200000 | PA      | $12247255.24    | 0.08%             | 2035-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3         | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1316981 | PA      | $1175649.87     | 0.01%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/1.7125 10/02/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-1577066.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1762500735 | PA      | $1822647605.96  | 11.29%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     13500000 | PA      | $15173219.43    | 0.09%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251229                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1439.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $403926.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1686.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB7685 FN 07/54 FIXED 6                       | CUSIP: 3140AHRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6681338 | PA      | $6852723.06     | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA6015 FN 03/54 FIXED 6.5                     | CUSIP: 3140A6VH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       246394 | PA      | $255928.84      | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $25433.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      1700000 | PA      | $1567908.26     | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $5009.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO MERRILL LYNCH                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -37458720 | PA      | $-37481351.31   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A3         | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11447736 | PA      | $5629513.52     | 0.03%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-6764208.12    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA5                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA5 A1B       | CUSIP: 93936RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6783 | PA      | $10645.48       | 0.00%             | 2047-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $75466.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                          | ROYAL BANK OF CANADA ROYAL BANK OF CANADA               | CUSIP: 780082AQ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     23700000 | PA      | $23969510.48    | 0.15%             | 2026-12-14      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UA9TA9 PIMCO SWAPTION 2.85 PUT EUR 20251002          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -5200000 | NC      | $-4.88          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $49265.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                              | NEW ZEALAND GOVERNMENT UNSECURED 05/31 1.5              | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |       300000 | PA      | $155726.11      | 0.00%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                        | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 1A3           | CUSIP: 5764342E3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       591906 | PA      | $518414.15      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 03/35 2.41        | CUSIP: ACI2TGV26<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    435690000 | PA      | $14650415.54    | 0.09%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                  | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43232 | PA      | $39511.57       | 0.00%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -1400000 | PA      | $-1229919.14    | -0.01%            | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                                   | INVESCO EURO CLO INVSC 3A AR                            | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     15700000 | PA      | $18450722.02    | 0.11%             | 2038-10-30      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 07/35 VAR          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10400000 | PA      | $10709968.46    | 0.07%             | 2035-07-23      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      4800000 | PA      | $4442908.66     | 0.03%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 04/31 2.632                   | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     79740000 | PA      | $18337712.78    | 0.11%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A3 144A                       | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1386866 | PA      | $1361093.65     | 0.01%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $71073.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABFA9 PIMCO SWAPTION 3.507 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -55900000 | NC      | $-17681.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-818.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0143 G2 01/55 FIXED 3.5                  | CUSIP: 3618N5ER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126544976 | PA      | $115491803.83   | 0.72%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.17           | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2006-1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2006 1 1A1A                 | CUSIP: 81743QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1109421 | PA      | $622820.31      | 0.00%             | 2046-09-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1         | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1678383 | PA      | $1013790.10     | 0.01%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A4       | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98135 | PA      | $90144.47       | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-SCHATZ FUT   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3736 | NC      | $517384.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| QATARENERGY                                                                   | QATAR ENERGY SR UNSECURED 144A 07/41 3.125              | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      1600000 | PA      | $1235072.00     | 0.01%             | 2041-07-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2           | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9130806 | PA      | $8553608.05     | 0.05%             | 2036-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 06/52 3.9           | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6400000 | PA      | $4337721.73     | 0.03%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      8200000 | PA      | $8434392.49     | 0.05%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6          | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26069224 | PA      | $8537681.43     | 0.05%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $31294.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $457.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZL0404 FR 06/38 FIXED 4               | CUSIP: 3131XFNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30020 | PA      | $29501.55       | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA NOTES 144A 09/28 5.5                            | CUSIP: ACI2JSF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      9000000 | PA      | $11109149.14    | 0.07%             | 2028-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1017306.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $310602.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-453.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $153481.79      | 0.00%             |  |  |  | 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        |     72400000 | PA      | $58180187.50    | 0.36%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-586668.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A      | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20917 | PA      | $19178.92       | 0.00%             | 2046-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8W0 PIMCO FXVAN PUT EUR USD 1.13150000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     74921000 | NC      | $1935.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -22164651 | PA      | $-22192726.27   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-29.99         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXH1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1250000 | PA      | $1247276.25     | 0.01%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5295 FN 03/54 FIXED 6                       | CUSIP: 31418E3D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23199562 | PA      | $23765829.10    | 0.15%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25        | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    196600000 | PA      | $9036541.98     | 0.06%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                               | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1 | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     62400000 | PA      | $34101641.15    | 0.21%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-303567.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       268313 | PA      | $91235.10       | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $2377.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $59339.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-174866.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A   | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10480904 | PA      | $10636045.07    | 0.07%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1702.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV4          | CUSIP: 126673JW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7277301 | PA      | $6737196.88     | 0.04%             | 2034-12-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | INTESA SANPAOLO SPA 144A 11/33 7.2                      | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     15100000 | PA      | $17214466.74    | 0.11%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-187985.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZA6403 FR 03/39 FIXED 4               | CUSIP: 31329QDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87287 | PA      | $85894.00       | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $16056.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -52701750 | PA      | $-52708103.49   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20558 | PA      | $4024.36        | 0.00%             | 2037-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                 | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102  | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      7944037 | PA      | $8189818.04     | 0.05%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-690137.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 11/26 VAR                              | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     10600000 | PA      | $10561657.57    | 0.07%             | 2026-11-24      | Floating      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -262 | NC      | $-56130.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     12836970 | PA      | $9068004.80     | 0.06%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DD6419 FN 04/55 FIXED 6.5                     | CUSIP: 3140B7DZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7594867 | PA      | $7939634.48     | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3705216.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1040226.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.08          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TSTAT 2022-1A LTD                                                             | TSTAT 2022 1 LTD TSTAT 2022 1A A1RR 144A                | CUSIP: 872899AY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |       732750 | PA      | $733575.91      | 0.00%             | 2037-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/35 5.7           | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2300000 | PA      | $2357712.50     | 0.01%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.98993 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-296237.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   2665800000 | PA      | $151651141.29   | 0.94%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-36489.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $75165.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251209                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $14060.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-34065.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3          | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6413098 | PA      | $3333300.78     | 0.02%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-48559.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    101468000 | NC      | $32045.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $14430.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A       | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175493 | PA      | $123387.61      | 0.00%             | 2045-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                  | ACE SECURITIES CORP. ACE 2007 WM1 A2A                   | CUSIP: 004424AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3720293 | PA      | $1531211.17     | 0.01%             | 2036-11-25      | Floating      | 4.41%                 | 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        |      3715864 | PA      | $3849196.32     | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       134622 | PA      | $116903.34      | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1              | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25434 | PA      | $24024.17       | 0.00%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-127.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-289853.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                                   | REPUBLIC OF PANAMA EUR TERM LOAN                        | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |     34600000 | PA      | $40688354.04    | 0.25%             | 2027-03-05      | Floating      | 3.84%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A1 144A        | CUSIP: 61755AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26365559 | PA      | $15153921.17    | 0.09%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-457312.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2              | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148969 | PA      | $98425.27       | 0.00%             | 2036-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                            | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      7526278 | PA      | $8836232.22     | 0.05%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                         | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M3          | CUSIP: 57643LKN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8555655 | PA      | $8445399.11     | 0.05%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $6599.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $96.09          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $422414.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/2.02754 12/10/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1459305.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/54 1.8                   | CUSIP: ACI2NMK96<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9373400000 | PA      | $48293435.18    | 0.30%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-15964.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 01/26 1                    | CUSIP: ACI2SJ0T6<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    585100000 | PA      | $91843781.19    | 0.57%             | 2026-01-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                        | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A    | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       250205 | PA      | $240281.96      | 0.00%             | 2036-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $19253.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA8827 FN 02/51 FIXED 2.5                     | CUSIP: 3140QGYZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3602341 | PA      | $3066698.82     | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.94000 08/22/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-363818.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $650244.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7937 G2 03/52 FIXED 3                    | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55163247 | PA      | $49298450.24    | 0.31%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                      | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1        | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3908805 | PA      | $3820497.60     | 0.02%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11        | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       803126 | PA      | $592403.27      | 0.00%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $2138702.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2381.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $990.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $142018.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $25.66          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-51023.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-587382.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                        | CUSIP: 49271JX10<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      9091000 | PA      | $9089935.44     | 0.06%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A2 144A    | CUSIP: 75585RQM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |      3398275 | PA      | $2441156.76     | 0.02%             | 2053-08-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A                          | BLACKROCK EUROPEAN CLO DAC BECLO 3A AR 144A             | CUSIP: ACI1Y3X37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      7600000 | PA      | $8907170.16     | 0.06%             | 2035-07-19      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                        | OZLM LTD OZLM 2019 24A A1AR 144A                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8353670 | PA      | $8369937.98     | 0.05%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $74517.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487 | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      7700000 | PA      | $6559764.75     | 0.04%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| KBC GROEP NV                                                                  | KBC GROUP NV SR UNSECURED 144A 01/29 VAR                | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |      8000000 | PA      | $8266458.16     | 0.05%             | 2029-01-19      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.18           | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC                                    | CUSIP: 37790AXG3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3094043.35     | 0.02%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QJ0973 FR 07/54 FIXED 6.5             | CUSIP: 3133CRCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8774762 | PA      | $9124391.60     | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-115248.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-172578.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                      | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A        | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9780770 | PA      | $8144000.10     | 0.05%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVELOPMENT BANK                                               | INTER AMERICAN DEVEL BK UNSECURED REGS 04/27 2.5        | CUSIP: ACI0QK6X4<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | N/A       |     15000000 | PA      | $9748031.28     | 0.06%             | 2027-04-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2        | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116796 | PA      | $112163.15      | 0.00%             | 2035-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                    | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   6120000000 | PA      | $40305467.09    | 0.25%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     23100000 | PA      | $23028852.00    | 0.14%             | 2025-10-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-8                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2005 8 3A4          | CUSIP: 05946XZ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10276 | PA      | $10426.84       | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-8994.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25          | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       500000 | PA      | $394168.86      | 0.00%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                   | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1784000000 | PA      | $313130401.80   | 1.94%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $3008.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $14096.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77147 03/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $253282.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-662345.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                   | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS               | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1832977 | PA      | $2423733.15     | 0.02%             | 2050-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-19932.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251211                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-107183.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-21526614.91   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RB5001 FR 07/39 FIXED 3.5             | CUSIP: 3133KYRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135004 | PA      | $129811.37      | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                                        | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A           | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       149053 | PA      | $153456.39      | 0.00%             | 2029-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375  | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     27600000 | PA      | $29024690.20    | 0.18%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1354750000 | PA      | $-1092244305.77 | -6.77%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     34648651 | PA      | $4440529.18     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | 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        |     21000000 | PA      | $123740.74      | 0.00%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $40112.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                                | LUMINENT MORTGAGE TRUST LUM 2006 7 2A1                  | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       766433 | PA      | $673953.63      | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $190959.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/56 5.375              | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     22300000 | PA      | $29465811.31    | 0.18%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $6280.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH42 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -26300000 | NC      | $-68590.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/49 3                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       375000 | PA      | $280861.82      | 0.00%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $193495.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                       | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14662012 | PA      | $14687072.71    | 0.09%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QE3059 FR 06/52 FIXED 4               | CUSIP: 3133BCMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3435391 | PA      | $3247485.40     | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 5YR BOND FUT  DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -172 | NC      | $-167087.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12      | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       311484 | PA      | $94765.31       | 0.00%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1        | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       196515 | PA      | $138624.92      | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $82535.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $6105.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                                | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2        | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2398 | PA      | $2348.17        | 0.00%             | 2029-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $-5008.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2004-68                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 68 ZC           | CUSIP: 38374HVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1772707 | PA      | $1791456.72     | 0.01%             | 2034-08-20      | Fixed         | 6.00%                 | 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        |      9100000 | PA      | $10701083.41    | 0.07%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $248876.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-25349.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -5700000 | NC      | $-1769.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-711624.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM7441 FN 05/51 FIXED VAR                     | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       811379 | PA      | $713709.23      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $4843.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INVSC-5A                                                                      | INVESCO EURO CLO INVSC 5A AR 144A                       | CUSIP: ACI2VXQH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     10100000 | PA      | $11857673.35    | 0.07%             | 2034-01-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |     -2900000 | NC      | $-703.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55939 | PA      | $41144.89       | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     21600000 | PA      | $22588209.72    | 0.14%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                                       | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A      | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3005759.25     | 0.02%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329            | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     10300000 | PA      | $10048132.66    | 0.06%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.45100 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-8313615.76    | -0.05%            |  |  |  | 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        |     52556383 | PA      | $48409827.86    | 0.30%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A    | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28564936 | PA      | $27696552.36    | 0.17%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.89750 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $4002853.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH67 PIMCO FXVAN PUT USD BRL 5.25000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -26300000 | NC      | $-142835.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO V DAC 5A                                                   | HAYFIN EMERALD CLO HAYEM 5A AR 144A                     | CUSIP: ACI2RYDM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     16900000 | PA      | $19865597.30    | 0.12%             | 2037-11-17      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20270610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1966.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $297795.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3414 FN 07/48 FIXED 3.5                     | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2043246 | PA      | $1897910.56     | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR            | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     38000000 | PA      | $38841548.00    | 0.24%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61400000 | PA      | $63063899.48    | 0.39%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A                          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A A 144A     | CUSIP: ACI2X1Q61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     25000000 | PA      | $29348346.11    | 0.18%             | 2035-02-15      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                              | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1               | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59204 | PA      | $52508.12       | 0.00%             | 2036-09-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20260311                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-7119.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $35177.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHE TARD INC 10/25 ZCP                  | CUSIP: 01626UX26<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      7650000 | PA      | $7648176.24     | 0.05%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-10579.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -138800000 | PA      | $-139862103.15  | -0.87%            | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20251210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $335.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $114913.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                             | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A        | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150588 | PA      | $116843.35      | 0.00%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $103634.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     34122000 | NC      | $34531.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008865 G2 05/26 FLOATING VAR               | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          700 | PA      | $699.87         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHE TARD INC 10/25 ZCP                  | CUSIP: 01626UX34<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     13250000 | PA      | $13245255.18    | 0.08%             | 2025-10-03      | None          | 0.00%                 | 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        |      1362024 | PA      | $744753.17      | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $42840.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                  | REPUBLIC OF CHILE REPUBLIC OF CHILE                     | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     14300000 | PA      | $14648920.00    | 0.09%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 12/99 3.23                | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      3300000 | PA      | $1852950.00     | 0.01%             | 2099-12-31      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC CITIGROUP INC                             | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     54200000 | PA      | $54471014.09    | 0.34%             | 2030-09-19      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 4A          | CUSIP: 07384MR20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11107 | PA      | $10766.06       | 0.00%             | 2034-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                              | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1             | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53570 | PA      | $51101.40       | 0.00%             | 2036-01-25      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $1113.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $5756346.31     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4         | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       570587 | PA      | $158421.76      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-217886.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/5.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |            1 | NC      | $38634.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 09/45 1.4                   | CUSIP: ACI0GTQ55<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1330000000 | PA      | $7319878.96     | 0.05%             | 2045-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1             | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1247126 | PA      | $724171.87      | 0.00%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                                      | ARCANO EURO CLO ARCAN 2A A 144A                         | CUSIP: ACI2YDJX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     13900000 | PA      | $16370884.64    | 0.10%             | 2039-07-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2007-1                                                    | LUDGATE FUNDING PLC LGATE 2007 1 A2B REGS               | CUSIP: B1Z520II7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        79060 | PA      | $89962.78       | 0.00%             | 2061-01-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QI7562 FR 06/54 FIXED 6               | CUSIP: 3133WEMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15592548 | PA      | $15984365.67    | 0.10%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $70425.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $208233.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5247 FN 01/54 FIXED 6                       | CUSIP: 31418EZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68944530 | PA      | $70584054.73    | 0.44%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $796428.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75   | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     51500000 | PA      | $52647622.40    | 0.33%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-1158373.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/51 0.7                   | CUSIP: BNKDTMII1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4080000000 | PA      | $16477533.22    | 0.10%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RMF1 PIMCO FXVAN PUT USD BRL 5.47500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     39925000 | NC      | $1092228.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC STANDARD CHARTERED PLC           | CUSIP: 853254CW8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     14000000 | PA      | $14430417.54    | 0.09%             | 2028-02-08      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-11513.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLME IV DAC A4                                                               | OZLME OZLME 4A AR 144A                                  | CUSIP: ACI2W69B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     18200000 | PA      | $21425547.39    | 0.13%             | 2038-04-27      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                            | COOPERATIEVE RABOBANK UA COOPERATIEVE RABOBANK UA       | CUSIP: 74977RDT8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     41800000 | PA      | $43305525.23    | 0.27%             | 2030-03-05      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $240662.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $795465.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/33 6.375                   | CUSIP: ACI2JSF94<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     10900000 | PA      | $13437649.69    | 0.08%             | 2033-09-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                                                 | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A    | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7704771 | PA      | $7713919.38     | 0.05%             | 2038-11-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260102                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-8941110.66    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $307376.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       200000 | PA      | $192298.31      | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P50175 FG 12/33 FIXED 6               | CUSIP: 31288LFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110669 | PA      | $111821.56      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $13285328.93    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA6038 FN 05/54 FIXED 6                       | CUSIP: 3140A6V86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8660650 | PA      | $8864924.26     | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                                | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                 | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       341112 | PA      | $307558.58      | 0.00%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/18/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $3416458.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-138691.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-8495.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-54312.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 01/33 4.5                  | CUSIP: 46514BRA7<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     11200000 | PA      | $10948207.09    | 0.07%             | 2033-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                          | ROYAL BANK OF CANADA SR UNSECURED 08/30 VAR             | CUSIP: 78016HZZ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      8300000 | PA      | $8496676.88     | 0.05%             | 2030-08-02      | Floating      | 4.97%                 | 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      | $-210556.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                       | BANK OF NOVA SCOTIA COVERED 144A 03/28 4.299            | CUSIP: 06418BAK4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     13700000 | PA      | $13855428.69    | 0.09%             | 2028-03-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6880 FN 08/53 FIXED 6.5                     | CUSIP: 3140QSUE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17854 | PA      | $18473.38       | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                   | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A A 144A       | CUSIP: ACI2NCB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5650073 | PA      | $7605928.18     | 0.05%             | 2050-06-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A         | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          485 | PA      | $5060651.77     | 0.03%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX3                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX3 A1        | CUSIP: 45670AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       222977 | PA      | $208223.15      | 0.00%             | 2037-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-1840179.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -59530000 | PA      | $-50163079.51   | -0.31%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40100000 | PA      | $41222127.52    | 0.26%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORTIMER BTL 2021-1 PLC 21-1                                                  | MORTIMER BTL MORTI 2021 1 A REGS                        | CUSIP: ACI1YG8D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11874048 | PA      | $15986021.40    | 0.10%             | 2053-06-23      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RME4 PIMCO FXVAN PUT USD BRL 5.27500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -39925000 | NC      | $-335130.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6           | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $927137.18      | 0.01%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4         | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     85750000 | PA      | $101083584.19   | 0.63%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.45975 09/02/25-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-66038.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2018 RPL1 A1A 144A  | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1786241 | PA      | $1754077.22     | 0.01%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-497612.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5498 FN 10/54 FIXED 6                       | CUSIP: 31418FDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13551369 | PA      | $13865862.25    | 0.09%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A           | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1780000 | PA      | $2386499.90     | 0.01%             | 2049-12-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                         | ARES EURO CLO ARESE 14A AR 144A                         | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1940871 | PA      | $2281106.72     | 0.01%             | 2034-10-21      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-148146.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                     | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A C 144A       | CUSIP: 21050QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1114000 | PA      | $1132974.54     | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                         | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                  | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7280850 | PA      | $7293834.92     | 0.05%             | 2039-06-17      | Floating      | 6.38%                 | 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        |      2127925 | PA      | $1198986.74     | 0.01%             | 2036-12-25      | Floating      | 4.59%                 | 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        |     87750000 | PA      | $81475531.90    | 0.50%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 02/30 5.375                | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     79200000 | PA      | $81791347.18    | 0.51%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10569466 | PA      | $10221365.83    | 0.06%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                        | LOGICOR FINANCING SARL COMPANY GUAR REGS 07/27 1.625    | CUSIP: ACI1D58V1<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      1300000 | PA      | $1496370.60     | 0.01%             | 2027-07-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/33 VAR            | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $10163729.80    | 0.06%             | 2033-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $4627.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                            | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M3        | CUSIP: 40430HEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4500000 | PA      | $4334319.00     | 0.03%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $44057.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $349596.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-82889.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      3263000 | PA      | $3255678.18     | 0.02%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-140440.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4           | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2440014.00     | 0.02%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/34 6.25                    | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      4900000 | PA      | $5936939.39     | 0.04%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5             | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11679986 | PA      | $12083032.27    | 0.07%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -6300000 | PA      | $-5936883.50    | -0.04%            | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8453 FR 08/54 FIXED 5.5             | CUSIP: 3132DWMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19230272 | PA      | $19419300.94    | 0.12%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                                | COUNTRYWIDE HOME LOANS CWHL 2007 13 A2                  | CUSIP: 17025JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       970427 | PA      | $434420.59      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $-168019.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/40 9           | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    541200000 | PA      | $28697075.16    | 0.18%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $6688.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                  | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91376689 | PA      | $83373606.38    | 0.52%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG43 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-2040598.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      1221406 | PA      | $11895271.81    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |      9700000 | PA      | $10009126.88    | 0.06%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-206906.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $353193.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3280.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $2087865.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-340779.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                            | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6713786 | PA      | $6390390.74     | 0.04%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                 | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7237810 | PA      | $7257996.53     | 0.04%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NGN SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |            1 | NC      | $65743.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-11482432.47   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15651572.25    | 0.10%             | 2035-01-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3598.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-112918.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1      | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       279284 | PA      | $127060.20      | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       698693 | PA      | $642885.49      | 0.00%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A       | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       282911 | PA      | $265868.73      | 0.00%             | 2046-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                                     | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12300000 | PA      | $12316339.57    | 0.08%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-32866.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                              | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1               | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92187 | PA      | $84323.50       | 0.00%             | 2047-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      8800000 | PA      | $3108115.87     | 0.02%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-132426.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES 2007-3                                           | CITICORP MORTGAGE SECURITIES, CMSI 2007 3 1A1           | CUSIP: 17312FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24866 | PA      | $21665.85       | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 04/51 5              | CUSIP: 91087BAL4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      6100000 | PA      | $5020300.00     | 0.03%             | 2051-04-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                         | RESLOC UK PLC RLOC 2007 1X M1B REGS                     | CUSIP: B1XCHGII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       486852 | PA      | $631136.64      | 0.00%             | 2043-12-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A   | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7554652 | PA      | $7363044.52     | 0.05%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-541841.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20270610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-896.76        | -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      | $-716152.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-250.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-85956.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1           | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216289 | PA      | $189491.99      | 0.00%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                                          | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1           | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2300 | PA      | $2261.07        | 0.00%             | 2033-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC BARCLAYS PLC                               | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     18000000 | PA      | $18705169.26    | 0.12%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1866000 | PA      | $1845416.64     | 0.01%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $147250.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A3       | CUSIP: 92922F6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90568 | PA      | $83298.64       | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $7088.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.30000 12/01/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $509423.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $43047.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                                 | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15644962 | PA      | $15662427.62    | 0.10%             | 2051-09-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| BANK OF QUEENSLAND LIMITED                                                    | BANK OF QUEENSLAND LTD BANK OF QUEENSLAND LTD           | CUSIP: ACI2P76R3<br>LEI: 549300WFIN7T02UKDG08 | Long             | DBT              | CORP              | AU        |     30377000 | PA      | $36422849.41    | 0.23%             | 2029-07-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                             | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9           | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |     20700000 | PA      | $13354821.64    | 0.08%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6075 FN 10/45 FIXED 4                       | CUSIP: 3138WFXD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5833 | PA      | $5616.67        | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-RP2                                                          | RAAC SERIES RAAC 2006 RP2 M1 144A                       | CUSIP: 74919MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4038264 | PA      | $3988663.59     | 0.02%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $327005.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-56028.48      | -0.00%            |  |  |  | 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        |     11642015 | PA      | $11613622.82    | 0.07%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-19918.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RO44 PIMCO FXVAN PUT EUR HUF 387.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     25902000 | NC      | $126385.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                            | SUMITOMO MITSUI TR BK LT SUMITOMO MITSUI TR BK LT       | CUSIP: 86563VBQ1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |     16400000 | PA      | $16917718.15    | 0.10%             | 2029-03-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       325456 | PA      | $266664.24      | 0.00%             | 2037-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-125725.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-35125.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -2900000 | NC      | $-11397.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/51 0.7                   | CUSIP: ACI22TWV2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    590000000 | PA      | $2330038.21     | 0.01%             | 2051-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-9906.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 623651 FN 04/32 FLOATING VAR                  | CUSIP: 31389EZQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3738 | PA      | $3802.69        | 0.00%             | 2032-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZA2511 FR 06/38 FIXED 4               | CUSIP: 31329KYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47131 | PA      | $46399.25       | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251024                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $25768.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 01/28 4.282              | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       900000 | PA      | $900427.76      | 0.01%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10677 | PA      | $10581.98       | 0.00%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |            2 | PA      | $0.24           | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                            | BACARDI MARTINI B V                                     | CUSIP: 05634EXG2<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |       900000 | PA      | $898159.68      | 0.01%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                       | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A    | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6208273 | PA      | $5365788.56     | 0.03%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.50000 06/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2585074.88     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $32921.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A1              | CUSIP: 46630GBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29157 | PA      | $28557.38       | 0.00%             | 2035-07-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QI6083 FR 05/54 FIXED 6               | CUSIP: 3133WCXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5794013 | PA      | $6007593.79     | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-98780.15      | -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        |       245997 | PA      | $235374.38      | 0.00%             | 2036-02-20      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $19243.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                              | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A               | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13378205 | PA      | $8736066.79     | 0.05%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                          | GCAT GCAT 2022 INV2 A5 144A                             | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14056956 | PA      | $12137624.98    | 0.08%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                    | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA D 144A      | CUSIP: 21050UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       915000 | PA      | $929299.44      | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                          | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M1           | CUSIP: 9497EBAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11774442 | PA      | $11772079.09    | 0.07%             | 2037-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300509                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $167731.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                              | JP MORGAN MORTGAGE TRUST JPMMT 2021 14 A11 144A         | CUSIP: 46653QBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10373256 | PA      | $9694425.89     | 0.06%             | 2052-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                            | COOPERATIEVE RABOBANK UA 144A 01/33 VAR                 | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     16100000 | PA      | $16940856.95    | 0.10%             | 2033-01-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $175014.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QI8170 FR 06/54 FIXED 6               | CUSIP: 3133WFCF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6719241 | PA      | $6966933.58     | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-203034.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75             | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    361800000 | PA      | $426615038.18   | 2.64%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-72719.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/28 VAR          | CUSIP: 38141GZL1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2618643.66     | 0.02%             | 2028-02-24      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                | SINGAPORE GOVERNMENT SR UNSECURED REGS 06/54 3.25       | CUSIP: ACI2P78N0<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     81589000 | PA      | $79593240.53    | 0.49%             | 2054-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $167420.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BANK OF NEW YORK                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1885488 | PA      | $-1887844.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                  | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5    | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      5200000 | PA      | $5265844.22     | 0.03%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |            1 | NC      | $-1232881.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                                | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                 | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9900000 | PA      | $9899086.82     | 0.06%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43519 | PA      | $32319.61       | 0.00%             | 2035-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                       | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                   | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       674396 | PA      | $375808.83      | 0.00%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-23997.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.0000 03/18/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $47125.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8V2 PIMCO FXVAN PUT AUD USD 0.61750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     16689000 | NC      | $22.09          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153257 | PA      | $150179.03      | 0.00%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 06/30 VAR         | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     28500000 | PA      | $29819077.19    | 0.18%             | 2030-06-05      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                                 | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A               | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7400000 | PA      | $7412950.00     | 0.05%             | 2034-07-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3351173.58    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251224                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-4518.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $190464.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 2A1               | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152830 | PA      | $142375.53      | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/30 3.25   | CUSIP: ACI1LTCD5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      4300000 | PA      | $4103176.53     | 0.03%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251024                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $760.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $407442.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2419 | NC      | $-8507002.75    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                   | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9439000000 | PA      | $41118386.45    | 0.25%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-121945.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5817816.25    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $64866.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -37500000 | NC      | $-5006.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CAPITAL CLO 2019-2 LTD                                                 | CANYON CAPITAL CLO LTD CANYC 2019 2A AR2 144A           | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4002804.32     | 0.02%             | 2034-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-64198.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFX0 PIMCO FXVAN PUT EUR CZK 24.25000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     28386000 | NC      | $161067.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                             | CIM TRUST CIM 2023 R2 A1 144A                           | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5705805 | PA      | $5759398.80     | 0.04%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.5000 06/19/19-10Y CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $128066.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A2      | CUSIP: 92922F5U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1271572 | PA      | $1202044.08     | 0.01%             | 2045-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                       | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A C 144A       | CUSIP: 83407UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2944000 | PA      | $3021908.51     | 0.02%             | 2034-03-27      | Fixed         | 5.77%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080061 G2 04/27 FLOATING VAR               | CUSIP: 36225CB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1312 | PA      | $1314.57        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.25000 12/20/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1470061.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 2.7         | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1869826.78     | 0.01%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20260326                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-4341.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625      | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     33700000 | PA      | $40710422.73    | 0.25%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-8443275.87    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BNDC0SII9<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     34500000 | PA      | $19176747.95    | 0.12%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6               | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62452618 | PA      | $63979541.36    | 0.40%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-13143.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251222                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-382243.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-7057.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 1.91250 01/30/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |            1 | NC      | $-681260.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $445067.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1        | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1383343 | PA      | $1269028.48     | 0.01%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     67600000 | PA      | $37575309.02    | 0.23%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-61043.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XV DAC 15A                                                  | ARES EURO CLO ARESE 15A A 144A                          | CUSIP: ACI29GXM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8335000 | PA      | $9797842.65     | 0.06%             | 2036-01-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 11/29 2.5         | CUSIP: ACI2Q20Z1<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   4301080000 | PA      | $139646686.32   | 0.86%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB2                                              | COUNTRYWIDE HOME LOANS CWHL 2006 HYB2 2A1B              | CUSIP: 126694D21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1976352 | PA      | $1791757.75     | 0.01%             | 2036-04-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND SR UNSECURED 10/33 4.875             | CUSIP: 731011AV4<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      7800000 | PA      | $7913243.99     | 0.05%             | 2033-10-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-62090.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MDGH GMTN (RSC) LTD                                                           | MDGH GMTN RSC LTD COMPANY GUAR 144A 04/33 5.5           | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | MUN               | AE        |      6600000 | PA      | $7044840.00     | 0.04%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-33636.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-405855.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9984488 | PA      | $9619034.26     | 0.06%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216034 | PA      | $183444.00      | 0.00%             | 2046-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $7234.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20260326                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-5329.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $9970849.04     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 01/33 VAR                              | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     11800000 | PA      | $12392987.29    | 0.08%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                               | PHILIP MORRIS INTL INC SR UNSECURED 06/29 2.75          | CUSIP: ACI2XLY35<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     25900000 | PA      | $30285932.04    | 0.19%             | 2029-06-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                          | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     10900000 | PA      | $10923109.74    | 0.07%             | 2033-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.96000 06/27/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-135548.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-120927.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM2005 FN 12/47 FIXED VAR                     | CUSIP: 3140J6GP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80101 | PA      | $77054.21       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | 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        |     35688780 | PA      | $33790844.61    | 0.21%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -22700000 | NC      | $-8326.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $27716.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1        | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       156799 | PA      | $140868.44      | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3276315.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-102128.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                               | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A   | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9209869 | PA      | $10799336.74    | 0.07%             | 2031-01-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2409676.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52368 | PA      | $50009.74       | 0.00%             | 2035-01-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                        | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B              | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      2713861 | PA      | $3186209.99     | 0.02%             | 2028-07-10      | Floating      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-26949.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA1195 FN 01/55 FIXED VAR                     | CUSIP: 3140W1KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12441855 | PA      | $12905064.87    | 0.08%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE          | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93200 | PA      | $91764.06       | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-230.31        | -0.00%            |  |  |  | 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        |     12186329 | PA      | $12190260.95    | 0.08%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $53883.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1290000 | PA      | $1281072.34     | 0.01%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                      | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     15433559 | PA      | $15464335.44    | 0.10%             | 2037-01-15      | Floating      | 5.82%                 | 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        |     10000000 | PA      | $11778632.75    | 0.07%             | 2036-08-29      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SANTANDER HOLDINGS USA           | CUSIP: 80282KBK1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     18300000 | PA      | $18496976.08    | 0.11%             | 2027-05-31      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO VII BV 16-7A                                                        | CAIRN CLO BV CRNCL 2016 7A A1R 144A                     | CUSIP: ACI1G9KT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2594311 | PA      | $3046289.42     | 0.02%             | 2030-01-31      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $60225.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH7058 FN 12/47 FIXED 3.5                     | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1446746 | PA      | $1349006.46     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/51 1.25               | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     47100000 | PA      | $26461642.12    | 0.16%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer