# EDGAR Filing Document

**Accession Number:** 0000916183
**File Stem:** 0001099263-26-007267
**Filing Date:** 2026-5
**Character Count:** 592612
**Document Hash:** 4c71c9969c843a22c8c78d35063229be
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007267.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007267

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO STRATEGIC INCOME FUND, INC.
- **CENTRAL INDEX KEY:** 0000916183

**ORGANIZATION NAME:**
- **EIN:** 943194834
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08216
- **FILM NUMBER:** 261043470

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO STRATEGIC INCOME FUND, INC
- **DATE OF NAME CHANGE:** 20231205

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO LOW DURATION OPPORTUNITIES FUND
- **DATE OF NAME CHANGE:** 20231103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO STRATEGIC INCOME FUND, INC.
- **DATE OF NAME CHANGE:** 20230918

## Nport-Ex

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 260.0% ¤** |  |  |
| **LOAN PARTICIPATIONS AND ASSIGNMENTS 18.5%**  |  |  |
| **Altar Bidco, Inc.**<br>9.108% due 02/01/2030 ~ | $700 | $665 |
| **Altice France SA**<br>10.547% (TSFR3M + 6.875%) due 05/31/2031 ~ | 1588 | 1594 |
| **Central Parent, Inc.**<br>6.950% (TSFR3M + 3.250%) due 07/06/2029 ~ | 1089 | 780 |
| **Envision Healthcare Corp.**<br>11.641% (TSFR3M + 7.875%) due 11/03/2028 «~ | 3864 | 3980 |
| **Forward Air Corp.**<br>8.167% (TSFR3M + 4.500%) due 12/19/2030 ~ | 1300 | 1269 |
| **Gateway Casinos & Entertainment Ltd.**<br>9.936% (TSFR3M + 6.250%) due 12/18/2030 ~ | 1962 | 1967 |
| **Ivanti Software, Inc.**  |  |  |
| 8.411% (TSFR3M + 4.750%) due 06/01/2029 ~ | 1228 | 833 |
| 9.411% (TSFR3M + 5.750%) due 06/01/2029 ~µ | 164 | 164 |
| **Lealand Finance Co. BV**<br>6.782% (TSFR1M + 3.000%) due 06/30/2027 ~ | 28 | 23 |
| **Lealand Finance Co. BV (7.782% Cash)**<br>7.782% (TSFR1M + 4.000%) due 12/31/2027 ~ | 220 | 184 |
| **Mercury Aggregator LP**<br>TBD% due 04/03/2027 «~ | 971 | 0 |
| **Newfold Digital Holdings Group, Inc.**<br>9.419% - 9.442% (TSFR3M + 5.750%) due 04/30/2029 «~ | 104 | 79 |
| **OCS Group Holdings Ltd.**<br>8.980% due 11/28/2031 ~ | 1000 | 1319 |
| **Peraton Corp.**  |  |  |
| 7.517% (TSFR3M + 3.750%) due 02/01/2028 ~ | $5033 | 4308 |
| 11.523% (TSFR3M + 7.750%) due 02/01/2029 ~ | 106 | 77 |
| **Poseidon Bidco SASU**<br>7.504% (EUR006M + 5.000%) due 03/13/2030 ~ | 1000 | 347 |
| **Promotora de Informaciones SA**<br>7.499% (EUR003M + 5.470%) due 12/31/2029 «~ | 5052 | 5708 |
| **Steenbok Lux Finco 2 SARL**<br>1TBD% due 12/31/2028 ~ | 12450 | 3343 |
| **Stepstone Group Midco 2 GmbH**  |  |  |
| 6.599% (EUR006M + 4.500%) due 04/26/2032 ~ | 2000 | 2031 |
| 8.199% (TSFR6M + 4.500%) due 12/19/2031 ~ | $298 | 262 |
| **Syniverse Holdings, Inc.**<br>10.700% (TSFR3M + 7.000%) due 05/13/2027 «~ | 4720 | 4372 |
| **U.S. Renal Care, Inc.**  |  |  |
| 1.500% - 9.675% (TSFR1M + 6.000%) due 09/25/2030 «~ | 2443 | 2488 |
| 8.782% (TSFR1M + 5.000%) due 06/28/2028 ~ | 3959 | 3739 |
| **Westmoreland Coal Co.**<br>8.000% due 03/15/2029 «~ | 2 | 1 |
| Total Loan Participations and Assignments (Cost $50,742) |  | 39533 |
| **CORPORATE BONDS & NOTES 35.3%**  |  |  |
| **BANKING & FINANCE 9.8%**  |  |  |
| **Antares Holdings LP** <br>6.350% due 10/23/2029 (i) | 1500 | 1486 |
| **Armor Holdco, Inc.** <br>8.500% due 11/15/2029 (i) | 1300 | 1188 |
| **BGC Group, Inc.** <br>6.600% due 06/10/2029 (i) | 1000 | 1032 |
| **CI Financial Corp.** <br>7.500% due 05/30/2029 (i) | 1300 | 1365 |
| **Corestate Capital Holding SA (8.000% Cash or 9.000% PIK)** <br>8.000% due 12/31/2028 (b) | 153 | 92 |
| **Credit Suisse AG AT1 Claim** | $600 | 210 |
| **EPR Properties** <br>3.750% due 08/15/2029 | 100 | 96 |
| **F&G Annuities & Life, Inc.**  |  |  |
| 6.250% due 10/04/2034 (i)  | 400 | 380 |
| 6.500% due 06/04/2029 (i)  | 700 | 703 |
| **Fairfax India Holdings Corp.** <br>5.000% due 02/26/2028 (i) | 2400 | 2291 |
| **Ford Motor Credit Co. LLC** <br>5.676% (SOFRRATE + 2.030%) due 03/20/2028 ~(i) | 1900 | 1904 |
| **GLP Capital LP/GLP Financing II, Inc.** <br>5.625% due 03/01/2036 (i) | 900 | 876 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HA Sustainable Infrastructure Capital, Inc.**  |  |  |
| 6.000% due 03/15/2036  | 100 | 97 |
| 6.150% due 01/15/2031 (i)  | 2300 | 2344 |
| **ION Platform Finance SARL**  |  |  |
| 6.500% due 09/30/2030  | 1400 | 1352 |
| 7.875% due 05/01/2029  | 100 | 108 |
| **Marex Group PLC**  |  |  |
| 5.829% due 05/08/2028 (i)  | $200 | 202 |
| 6.404% due 11/04/2029 (i)  | 1000 | 1030 |
| **Nissan Motor Acceptance Co. LLC** <br>5.698% (SOFRINDX + 2.050%) due 09/13/2027 ~(i) | 665 | 660 |
| **Titanium 2l Bondco SARL** <br>6.250% due 01/14/2031 | 5074 | 953 |
| **Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC** <br>6.000% due 01/15/2030 (i) | $2638 | 2484 |
|  |  | 20853 |
| **INDUSTRIALS 21.4%**  |  |  |
| **Altice France Lux 3/Altice Holdings 1** <br>10.000% due 01/15/2033 | 857 | 780 |
| **Altice France SA** <br>9.500% due 11/01/2029 (i) | 869 | 879 |
| **APLD ComputeCo 2 LLC** <br>6.750% due 03/15/2031 | 100 | 99 |
| **Beignet Investor LLC** <br>6.581% due 05/30/2049 (i) | 4200 | 4321 |
| **Centene Corp.**  |  |  |
| 2.450% due 07/15/2028 (i)  | 900 | 839 |
| 3.000% due 10/15/2030 (i)  | 900 | 789 |
| 3.375% due 02/15/2030  | 200 | 181 |
| 4.625% due 12/15/2029 (i)  | 250 | 237 |
| **Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.** <br>8.000% due 06/15/2029 | 50 | 37 |
| **Central Parent, Inc./CDK Global, Inc.** <br>7.250% due 06/15/2029 | 50 | 36 |
| **CVS Pass-Through Trust** <br>7.507% due 01/10/2032 (i) | 420 | 444 |
| **DISH DBS Corp.**  |  |  |
| 5.250% due 12/01/2026  | 3558 | 3529 |
| 5.750% due 12/01/2028  | 3000 | 2903 |
| **Ecopetrol SA**  |  |  |
| 6.875% due 04/29/2030 (i)  | 2860 | 2865 |
| 7.750% due 02/01/2032 (i)  | 1300 | 1314 |
| **Flora Food Management BV** <br>7.500% due 10/31/2030 | 200 | 229 |
| **Gazprom PJSC Via Gaz Capital SA** <br>8.625% due 04/28/2034 | $1710 | 1411 |
| **GSG Bidco Ltd.** <br>5.375% due 06/15/2036 | 1870 | 2147 |
| **HF Sinclair Corp.** <br>6.250% due 01/15/2035 (i) | $1000 | 1033 |
| **Incora Intermediate II LLC (0.500% PIK)** <br>0.500% due 01/31/2030 «(b) | 3993 | 3993 |
| **Incora Top Holdco LLC** <br>6.000% due 01/30/2033 «(h) | 2775 | 4203 |
| **JetBlue Airways Corp./JetBlue Loyalty LP** <br>9.875% due 09/20/2031 (i) | 417 | 395 |
| **MPH Acquisition Holdings LLC (6.500% Cash and 5.000% PIK)** <br>11.500% due 12/31/2030 (b) | 630 | 570 |
| **National Mentor Holdings, Inc.** <br>10.500% due 12/15/2030 (i) | 300 | 310 |
| **Newfold Digital Holdings Group, Inc.** <br>9.419% due 04/30/2029 | 2130 | 1281 |
| **Nissan Motor Co. Ltd.** <br>4.810% due 09/17/2030 (i) | 2100 | 1909 |
| **Petroleos Mexicanos**  |  |  |
| 6.700% due 02/16/2032 (i)  | 784 | 768 |
| 6.840% due 01/23/2030 (i)  | 200 | 201 |
| **Spirit Airlines Pass-Through Trust** <br>4.100% due 10/01/2029 | 513 | 504 |
| **Topaz Solar Farms LLC** <br>4.875% due 09/30/2039 (i) | 602 | 545 |
| **U.S. Renal Care, Inc.** <br>10.625% due 06/28/2028 | 1454 | 1214 |
| **Ubisoft Entertainment SA** <br>0.878% due 11/24/2027 | 300 | 280 |
| **United Airlines Pass-Through Trust** <br>4.150% due 02/25/2033 | $61 | 60 |
| **Vale SA** <br>0.000% due 12/29/2049 ~(g) | 50000 | 4230 |
| **Viridien**  |  |  |
| 8.500% due 10/15/2030  | 543 | 660 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 10.000% due 10/15/2030 (i)  | $316 | 337 |
|  |  | 45533 |
| **UTILITIES 4.1%**  |  |  |
| **Altice Holdings 1 SARL** <br>0.010% due 12/31/2099 « | 4 | 50 |
| **Edison International** <br>6.250% due 03/15/2030 (i) | $100 | 104 |
| **NGD Holdings BV** <br>6.750% due 12/31/2026 | 957 | 892 |
| **Nova Securitisation SARL**  |  |  |
| 5.750% due 02/03/2031 (i)  | 1100 | 1065 |
| 6.500% due 02/03/2036 (i)  | 1100 | 1048 |
| **OI SA (10.000% Cash or 6.000% PIK and 7.500% Cash or 13.500% PIK)** <br>10.000% due 06/30/2027 ^(b)(c) | 2472 | 1199 |
| **OI SA (8.500% PIK)** <br>8.500% due 12/31/2028 ^(b)(c) | 2231 | 24 |
| **Peru LNG SRL** <br>5.375% due 03/22/2030 (i) | 1867 | 1814 |
| **SW Finance I PLC** <br>1.625% due 03/30/2027 | 800 | 1016 |
| **Uniti Group LP/Uniti Group Finance 2019, Inc./CSL Capital LLC** <br>6.500% due 02/15/2029 (i) | $1600 | 1555 |
|  |  | 8767 |
| Total Corporate Bonds & Notes (Cost $80,099) |  | 75153 |
| **CONVERTIBLE BONDS & NOTES 0.2%**  |  |  |
| **BANKING & FINANCE 0.1%**  |  |  |
| **Corestate Capital Holding SA (8.000% Cash or 9.000% PIK)** <br>8.000% due 12/31/2028 (b) | 178 | 107 |
| **Country Garden Holdings Co. Ltd.** <br>0.000% due 12/31/2031 (f)(h) | $433 | 49 |
|  |  | 156 |
| **INDUSTRIALS 0.1%**  |  |  |
| **Ubisoft Entertainment SA** <br>2.375% due 11/15/2028 | 300 | 331 |
| Total Convertible Bonds & Notes (Cost $600) |  | 487 |
| **MUNICIPAL BONDS & NOTES 2.2%**  |  |  |
| **CALIFORNIA 0.0%**  |  |  |
| **Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021** <br>3.850% due 06/01/2050 | $45 | 41 |
| **MICHIGAN 1.1%**  |  |  |
| **Detroit, Michigan General Obligation Bonds, Series 2014** <br>4.000% due 04/01/2044 | 2983 | 2300 |
| **WEST VIRGINIA 1.1%**  |  |  |
| **Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007** <br>0.000% due 06/01/2047 (f) | 25300 | 2351 |
| Total Municipal Bonds & Notes (Cost $5,994) |  | 4692 |
| **U.S. GOVERNMENT AGENCIES 153.1%**  |  |  |
| **Federal Home Loan Mortgage Corp.**  |  |  |
| 5.500% due 04/01/2039 (i) | 641 | 660 |
| 6.000% due 02/01/2033 - 02/01/2034 | 23 | 23 |
| 6.500% due 06/01/2029 - 07/01/2037 | 51 | 52 |
| 7.000% due 03/01/2031 - 12/01/2036 | 102 | 105 |
| 7.500% due 04/01/2026 - 03/01/2037 | 98 | 99 |
| 8.000% due 12/01/2026 | 1 | 1 |
| **Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates**<br>2.010% due 11/25/2045 ~(a) | 5336 | 162 |
| **Federal Home Loan Mortgage Corp. REMICS**  |  |  |
| 0.578% due 11/15/2048 •(a)(i) | 3997 | 155 |
| 2.224% due 04/25/2048 - 11/25/2049 •(a)(i) | 22150 | 2790 |
| 2.229% due 11/15/2038 ~(a)(i) | 4533 | 234 |
| 2.314% due 05/15/2038 ~(a) | 1340 | 118 |
| 2.374% due 05/25/2050 •(a) | 477 | 57 |
| 2.513% due 08/15/2036 ~(a) | 444 | 31 |
| 3.000% due 11/25/2050 (a)(i) | 7131 | 1295 |
| 3.000% due 01/25/2051 (a) | 412 | 74 |
| 3.500% due 05/25/2050 (a) | 429 | 80 |
| 5.500% due 06/15/2041 (i) | 792 | 816 |
| 6.000% due 12/15/2028 - 03/15/2035 | 280 | 289 |
| 6.500% due 02/15/2028 - 06/15/2032 | 448 | 462 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 6.500% due 07/15/2032 (i) | 148 | 155 |
| 7.000% due 07/15/2027 - 06/15/2031 | 197 | 202 |
| 7.500% due 03/15/2028 | 2 | 2 |
| 8.000% due 04/15/2030 | 5 | 5 |
| **Federal Home Loan Mortgage Corp. STACR REMICS Trust**  |  |  |
| 11.162% due 10/25/2041 •(i) | 2800 | 2880 |
| 11.462% due 11/25/2041 •(i) | 2800 | 2896 |
| **Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates**  |  |  |
| 4.455% due 07/25/2032 ~ | 50 | 46 |
| 6.500% due 02/25/2043 - 10/25/2043 | 133 | 136 |
| 6.500% due 09/25/2043 ~ | 31 | 32 |
| 6.500% due 03/25/2044 (i) | 956 | 956 |
| 7.000% due 02/25/2043 - 10/25/2043 | 244 | 251 |
| 7.500% due 02/25/2042 | 14 | 15 |
| **Federal National Mortgage Association**  |  |  |
| 4.000% due 06/01/2047 - 03/01/2048 | 158 | 152 |
| 4.000% due 09/01/2047 - 11/01/2047 (i) | 4122 | 3950 |
| 4.500% due 03/01/2028 - 08/01/2041 | 86 | 86 |
| 6.000% due 12/01/2032 - 10/01/2036 | 91 | 93 |
| 6.000% due 04/01/2035 - 06/01/2040 (i) | 1167 | 1223 |
| 6.135% due 09/01/2028 •  | 1 | 1 |
| 6.500% due 11/01/2028 - 11/01/2047 | 441 | 460 |
| 6.500% due 04/01/2037 (i) | 100 | 101 |
| 7.000% due 07/01/2034 - 01/01/2047 | 25 | 26 |
| 8.000% due 09/01/2027 - 11/01/2031 | 20 | 21 |
| **Federal National Mortgage Association Grantor Trust**  |  |  |
| 6.000% due 01/25/2044 | 374 | 387 |
| 6.500% due 12/25/2041 - 08/25/2042 | 810 | 841 |
| 7.000% due 07/25/2042 - 11/25/2043 | 56 | 58 |
| 7.500% due 11/25/2040 - 07/25/2042 | 146 | 149 |
| 7.500% due 06/19/2041 ~ | 50 | 52 |
| 8.000% due 06/19/2041 ~ | 469 | 483 |
| **Federal National Mortgage Association Interest STRIPS**<br>5.000% due 07/25/2037 (a) | 317 | 43 |
| **Federal National Mortgage Association REMICS**  |  |  |
| 0.000% due 02/25/2052 •(a) | 99572 | 309 |
| 1.126% due 12/25/2042 ~(a) | 1932 | 34 |
| 2.173% due 08/25/2054 ~(a)(i) | 2730 | 138 |
| 2.224% due 10/25/2049 •(a)(i) | 5151 | 690 |
| 2.274% due 02/25/2049 •(a) | 47 | 4 |
| 2.324% due 07/25/2050 •(a)(i) | 750 | 88 |
| 2.500% due 12/25/2027 (a) | 113 | 1 |
| 2.974% due 07/25/2041 •(a) | 140 | 4 |
| 3.000% due 06/25/2050 (a)(i) | 930 | 171 |
| 3.500% due 07/25/2036 (a)(i) | 1825 | 157 |
| 3.500% due 07/25/2042 - 12/25/2049 (a) | 264 | 29 |
| 4.000% due 06/25/2050 (a)(i) | 472 | 88 |
| 4.500% due 07/25/2040 | 308 | 305 |
| 5.000% due 01/25/2038 (i) | 1451 | 1466 |
| 5.000% due 07/25/2038 | 39 | 40 |
| 5.500% due 11/25/2032 (i) | 770 | 786 |
| 5.500% due 12/25/2034 - 04/25/2035 | 492 | 505 |
| 5.750% due 06/25/2033 | 6 | 6 |
| 6.000% due 09/25/2031 | 25 | 26 |
| 6.500% due 09/25/2031 - 03/25/2032 | 163 | 166 |
| 6.850% due 12/18/2027 | 1 | 1 |
| 7.000% due 06/18/2027 - 03/25/2045 | 155 | 160 |
| 8.500% due 06/18/2027 - 06/25/2030 | 3 | 4 |
| **Federal National Mortgage Association REMICS Trust**  |  |  |
| 4.312% due 02/25/2042 ~ | 175 | 174 |
| 4.550% due 09/25/2041 ~ | 118 | 119 |
| 4.668% due 12/25/2042 ~ | 11 | 11 |
| 4.978% due 10/25/2042 ~ | 4 | 5 |
| 5.024% due 10/25/2042 ~ | 116 | 118 |
| 5.807% due 08/25/2043 | 537 | 533 |
| **Federal National Mortgage Association Trust**  |  |  |
| 6.500% due 09/25/2042 - 06/25/2044 | 316 | 323 |
| 7.000% due 02/25/2044 | 13 | 13 |
| 7.500% due 07/25/2042 - 06/25/2044 | 95 | 98 |
| **Government National Mortgage Association**  |  |  |
| 3.500% due 03/20/2056 | 1800 | 1652 |
| 4.000% due 10/15/2051 - 03/15/2052 (i) | 6234 | 5875 |
| 4.000% due 03/15/2052 | 36 | 34 |
| 6.000% due 04/15/2029 - 12/15/2038 | 186 | 192 |
| 6.000% due 11/15/2038 (i) | 98 | 103 |
| 6.500% due 04/15/2032 - 01/20/2055 | 327 | 338 |
| 7.500% due 04/15/2027 - 02/15/2029 | 37 | 36 |
| 8.500% due 02/15/2031 | 4 | 4 |
| **Government National Mortgage Association REMICS**  |  |  |
| 2.260% due 08/20/2049 - 09/20/2049 •(a)(i) | 38260 | 4708 |
| 2.410% due 06/20/2047 •(a)(i) | 4091 | 505 |
| **Government National Mortgage Association, TBA**  |  |  |
| 4.000% due 04/01/2056 | 3700 | 3466 |
| 4.500% due 06/01/2040 | 100 | 96 |
| 6.500% due 05/01/2056 | 600 | 622 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **U.S. Small Business Administration**  |  |  |
| 5.510% due 11/01/2027 | 25 | 25 |
| 5.780% due 08/01/2027 | 1 | 1 |
| 5.820% due 07/01/2027 | 2 | 2 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 4.500% due 04/01/2056 | 2060 | 1988 |
| 5.000% due 04/01/2056 - 05/01/2056 | 10300 | 10148 |
| 6.000% due 06/01/2056 | 16000 | 16286 |
| 6.500% due 05/01/2056 - 06/01/2056 | 233900 | 241785 |
| 7.000% due 05/01/2056 | 7700 | 8101 |
| **Vendee Mortgage Trust**  |  |  |
| 6.500% due 03/15/2029 | 13 | 13 |
| 6.750% due 06/15/2026 | 2 | 2 |
| 7.500% due 09/15/2030 | 398 | 414 |
| Total U.S. Government Agencies (Cost $344,540) |  | 326173 |
| **U.S. TREASURY OBLIGATIONS 0.2%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 4.875% due 08/15/2045 | 197 | 197 |
| **U.S. Treasury Notes**  |  |  |
| 4.250% due 08/15/2035 | 197 | 196 |
| Total U.S. Treasury Obligations (Cost $404) |  | 393 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 18.8%**  |  |  |
| **Adjustable Rate Mortgage Trust**  |  |  |
| 6.297% due 07/25/2035 ~  | 92 | 92 |
| 6.542% due 08/25/2035 ~  | 89 | 89 |
| **Ashford Hospitality Trust** <br>5.245% due 04/15/2035 •(i) | 2200 | 2189 |
| **Atrium Hotel Portfolio Trust** <br>5.470% due 12/15/2036 •(i) | 1600 | 1573 |
| **Banc of America Mortgage Trust** <br>4.758% due 02/25/2035 ~ | 3 | 3 |
| **BCAP LLC Trust** <br>4.182% due 07/26/2036 ~ | 78 | 65 |
| **Bear Stearns ALT-A Trust** <br>4.132% due 08/25/2036 ~ | 196 | 88 |
| **Bear Stearns Commercial Mortgage Securities Trust** <br>5.657% due 10/12/2041 ~ | 32 | 32 |
| **CHL Mortgage Pass-Through Trust**  |  |  |
| 4.433% due 03/25/2035 •  | 536 | 468 |
| 5.240% due 08/25/2034 ~  | 93 | 91 |
| 5.663% due 03/25/2046 •  | 484 | 423 |
| **CHL Reperforming Loan REMICS Trust**  |  |  |
| 7.500% due 11/25/2034  | 80 | 82 |
| 7.500% due 06/25/2035  | 16 | 17 |
| **CLNY Trust** <br>6.059% due 11/15/2038 •(i) | 1000 | 959 |
| **COMM Mortgage Trust** <br>9.787% due 12/15/2038 •  | 1380 | 1271 |
| **Countrywide Alternative Loan Trust** <br>4.213% due 07/25/2046 •  | 724 | 674 |
| **CSFB Mortgage-Backed Pass-Through Certificates** <br>7.000% due 02/25/2034 | 30 | 30 |
| **CSMC Mortgage-Backed Trust** <br>6.500% due 03/25/2036 | 731 | 76 |
| **CSMC Trust** <br>3.431% due 11/10/2032 | 1200 | 1017 |
| **Eurosail-U.K. PLC**  |  |  |
| 5.465% due 09/13/2045 •  | 1582 | 1972 |
| 6.115% due 09/13/2045 •  | 1130 | 1346 |
| 7.715% due 09/13/2045 •  | 960 | 1245 |
| **GC Pastor Hipotecario 5 FTA** <br>2.278% due 06/21/2046 •  | 398 | 427 |
| **GMACM Mortgage Loan Trust** <br>4.156% due 08/19/2034 ~ | $13 | 12 |
| **GSAA Trust** <br>6.000% due 04/01/2034 | 271 | 267 |
| **GSMPS Mortgage Loan Trust**  |  |  |
| 7.000% due 06/25/2043 (i)  | 1078 | 1131 |
| 7.500% due 06/19/2027 ~  | 9 | 9 |
| 8.000% due 09/19/2027 ~  | 232 | 228 |
| **GSR Mortgage Loan Trust**  |  |  |
| 4.123% due 12/25/2034 •  | 27 | 25 |
| **IM Pastor 3 FTH** <br>2.248% due 03/22/2043 •  | 125 | 128 |
| **JP Morgan Chase Commercial Mortgage Securities Trust**  |  |  |
| 4.519% due 04/15/2037 •(i)  | $939 | 930 |
| 5.537% due 03/15/2036 •  | 900 | 753 |
| 5.537% due 12/15/2036 •  | 1700 | 54 |
| 6.970% due 02/15/2035 •(i)  | 987 | 945 |
| **JP Morgan Mortgage Trust** <br>5.860% due 10/25/2036 ~ | 539 | 408 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **MASTR Adjustable Rate Mortgages Trust** <br>3.830% due 10/25/2034 ~ | 183 | 169 |
| **MASTR Alternative Loan Trust**  |  |  |
| 6.250% due 07/25/2036  | 181 | 90 |
| 7.000% due 04/25/2034  | 8 | 8 |
| **MASTR Reperforming Loan Trust**  |  |  |
| 7.000% due 05/25/2035  | 1939 | 1235 |
| 7.500% due 07/25/2035  | 1018 | 655 |
| **Morgan Stanley Resecuritization Trust** <br>4.259% due 12/26/2046 ~ | 5454 | 5005 |
| **NAAC Reperforming Loan REMICS Trust** <br>7.500% due 03/25/2034 (i) | 1108 | 1044 |
| **NACC Reperforming Loan REMICS Trust**  |  |  |
| 7.000% due 10/25/2034  | 356 | 314 |
| 7.500% due 10/25/2034  | 1068 | 957 |
| **New Orleans Hotel Trust** <br>5.309% due 04/15/2032 •  | 1000 | 987 |
| **Newgate Funding PLC**  |  |  |
| 3.400% due 12/15/2050 •  | 933 | 1035 |
| 3.650% due 12/15/2050 •  | 933 | 1040 |
| **RALI Trust** <br>6.000% due 08/25/2035 | $529 | 471 |
| **RBSSP Resecuritization Trust**  |  |  |
| 6.000% due 02/26/2037 ~  | 2114 | 1021 |
| 6.250% due 12/26/2036 ~  | 5180 | 1634 |
| **Residential Asset Mortgage Products Trust**  |  |  |
| 8.500% due 10/25/2031  | 106 | 95 |
| 8.500% due 11/25/2031  | 595 | 219 |
| 8.500% due 12/25/2031  | 4 | 2 |
| **Seasoned Credit Risk Transfer Trust** <br>5.000% due 06/25/2065 ~ | 1800 | 1522 |
| **Structured Asset Securities Corp. Mortgage Loan Trust** <br>7.500% due 10/25/2036 | 1978 | 1078 |
| **WaMu Mortgage Pass-Through Certificates Trust** <br>5.348% due 05/25/2035 ~ | 34 | 33 |
| **Washington Mutual MSC Mortgage Pass-Through Certificates Trust**  |  |  |
| 7.000% due 03/25/2034  | 22 | 23 |
| 7.500% due 04/25/2033  | 44 | 45 |
| **Wells Fargo Commercial Mortgage Trust** <br>4.928% due 12/15/2039 ~ | 2558 | 2301 |
| Total Non-Agency Mortgage-Backed Securities (Cost $44,412) |  | 40102 |
| **ASSET-BACKED SECURITIES 4.5%**  |  |  |
| **HOME EQUITY OTHER 1.6%**  |  |  |
| **Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates** <br>7.318% due 11/25/2032 •  | 39 | 28 |
| **Bear Stearns Asset-Backed Securities I Trust** <br>2.249% due 09/25/2034 •  | 39 | 40 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 4.193% due 06/25/2037 •(i)  | 1230 | 1260 |
| 4.212% due 11/25/2034 •(i)  | 2297 | 2026 |
|  |  | 3354 |
| **MANUFACTURING HOUSE ABS OTHER 0.0%**  |  |  |
| **Access Financial Manufactured Housing Contract Trust** <br>7.650% due 05/15/2049 | 200 | 1 |
| **MANUFACTURING HOUSE SEQUENTIAL 0.1%**  |  |  |
| **Conseco Finance Corp.** <br>6.530% due 02/01/2031 ~ | 27 | 24 |
| **Conseco Finance Securitizations Corp.** <br>7.960% due 05/01/2031 | 1417 | 244 |
|  |  | 268 |
| **OTHER ABS 2.8%**  |  |  |
| **ABSLT DE LLC** <br>12.175% due 05/20/2033 « | 2000 | 1967 |
| **ECAF I Ltd.** <br>4.947% due 06/15/2040 | 480 | 446 |
| **Elmwood CLO II Ltd.** <br>0.000% due 04/20/2034 ~ | 1213 | 407 |
| **Madison Park Funding XXIII Ltd.** <br>0.000% due 07/27/2047 ~ | 500 | 29 |
| **Man GLG U.S. CLO Ltd.** <br>0.000% due 07/15/2034 ~ | 250 | 89 |
| **Marlette Funding Trust** <br>0.000% due 07/16/2029 «(f) | 7 | 0 |
| **National Collegiate V Commutation Trust** <br>0.000% due 03/25/2038 •  | 10387 | 1524 |
| **SMB Private Education Loan Trust**  |  |  |
| 0.000% due 10/15/2048 «(f)  | 5 | 1071 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0.000% due 02/16/2055 «(f)  | 0 | 408 |
|  |  | 5941 |
| Total Asset-Backed Securities (Cost $24,572) |  | 9564 |
| **SOVEREIGN ISSUES 10.8%**  |  |  |
| **Angola Government International Bonds**  |  |  |
| 9.375% due 03/31/2033  | 300 | 297 |
| 9.875% due 03/31/2037  | 300 | 297 |
| **Argentina Bonar Bonds** <br>0.750% due 07/09/2030 þ | 371 | 301 |
| **Argentina Republic Government International Bonds**  |  |  |
| 1.000% due 07/09/2029  | 188 | 166 |
| 4.125% due 07/09/2046 þ  | 107 | 74 |
| 5.000% due 01/09/2038 þ(i)  | 4388 | 3318 |
| **Avenir Issuer IV Ireland DAC** <br>6.000% due 10/25/2027 | 560 | 543 |
| **Colombia Government International Bonds**  |  |  |
| 3.750% due 09/19/2028  | 1000 | 1134 |
| 5.000% due 09/19/2032  | 800 | 873 |
| 5.375% due 01/21/2029  | $2200 | 2182 |
| 5.625% due 02/19/2036  | 1000 | 1059 |
| **Colombia TES**  |  |  |
| 11.000% due 08/22/2029  | 1023700 | 258 |
| 11.750% due 01/24/2035  | 14226700 | 3527 |
| 12.750% due 11/28/2040  | 1032300 | 274 |
| 13.250% due 02/09/2033  | 893700 | 240 |
| **Dominican Republic International Bonds** <br>10.500% due 03/15/2037 (i) | 114400 | 1964 |
| **Egypt Government Bonds** <br>19.698% due 10/14/2030 | 147000 | 2648 |
| **Ghana Government International Bonds**  |  |  |
| 0.000% due 07/03/2026 (f)  | $6 | 6 |
| 0.000% due 01/03/2030 (f)  | 30 | 25 |
| 5.000% due 07/03/2029 þ  | 151 | 144 |
| **Romania Government International Bonds** <br>5.125% due 09/24/2031 (i) | 1700 | 1951 |
| **Turkiye Government Bonds**  |  |  |
| 39.740% (BISTREFI) due 05/17/2028 ~  | 10000 | 224 |
| 40.299% (BISTREFI) due 09/06/2028 ~  | 57400 | 1287 |
| **Venezuela Government International Bonds**  |  |  |
| 6.000% due 12/09/2049 ^(c)  | $135 | 52 |
| 9.250% due 09/15/2027 ^(c)  | 171 | 82 |
| Total Sovereign Issues (Cost $23,188) |  | 22926 |
|  | SHARES |  |
| **COMMON STOCKS 9.2%**  |  |  |
| **COMMUNICATION SERVICES 1.4%**  |  |  |
| **Clear Channel Outdoor Holdings, Inc. (d)** | 291816 | 692 |
| **iHeartMedia, Inc. Class A (d)** | 68102 | 199 |
| **iHeartMedia, Inc. Class B «(d)** | 52880 | 136 |
| **Promotora de Informaciones SA Class A (d)** | 207627 | 72 |
| **SES SA «(d)** | 98888 | 1483 |
| **Uniti Group, Inc. (d)** | 32871 | 308 |
|  |  | 2890 |
| **CONSUMER DISCRETIONARY 0.0%**  |  |  |
| **Steinhoff International Holdings NV «(d)(h)** | 17707907 | 0 |
| **FINANCIALS 1.5%**  |  |  |
| **Banca Monte dei Paschi di Siena SpA** | 323500 | 2823 |
| **Windstream Services LLC (d)** | 33629 | 315 |
| **XBP Global Holdings, Inc. (d)** | 371 | 2 |
|  |  | 3140 |
| **HEALTH CARE 4.0%**  |  |  |
| **AmSurg Corp. «(d)(h)** | 192582 | 8469 |
| **INDUSTRIALS 2.3%**  |  |  |
| **Incora New Equity «(d)(h)** | 121860 | 4615 |
| **Luxco Co. Ltd. «(d)(h)** | 18808 | 348 |
| **Westmoreland Mining Holdings «(d)(h)** | 69 | 0 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Westmoreland Mining LLC «(d)(h)** | 219 | 1 |
|  |  | 4964 |
| **REAL ESTATE 0.0%**  |  |  |
| **Country Garden Holdings Co. Ltd. (d)** | 200965 | 8 |
| **MNSN Holdings, Inc. «(d)(h)** | 1054 | 65 |
|  |  | 73 |
| Total Common Stocks (Cost $19,092) |  | 19536 |
| **WARRANTS 0.0%**  |  |  |
| **COMMUNICATION SERVICES 0.0%**  |  |  |
| **Windstream Holdings II LLC - Exp. 08/01/2035** | 6551 | 61 |
| Total Warrants (Cost $40) |  | 61 |
| **PREFERRED SECURITIES 3.8%**  |  |  |
| **BANKING & FINANCE 3.0%**  |  |  |
| **ADLER Group SA** « | 906702 | 0 |
| **Capital Farm Credit ACA**<br>8.393% due 06/15/2026 •(g) | 1300000 | 1296 |
| **WAFC Voussoir** « | 5005830 | 5006 |
| **Windstream Holdings II LLC**<br>11.000% « | 215 | 228 |
|  |  | 6530 |
| **INDUSTRIALS 0.8%**  |  |  |
| **SVB Financial Trust**  |  |  |
| 0.000% due 11/07/2032 (f) | 5040 | 0 |
| 11.000% due 11/07/2032 | 1202 | 568 |
| **Syniverse Holdings, Inc.**<br>12.500% «(h) | 1132846 | 953 |
| **Venture Global LNG, Inc.**<br>9.000% due 09/30/2029 •(g) | 110000 | 110 |
|  |  | 1631 |
| Total Preferred Securities (Cost $8,385) |  | 8161 |
| **REAL ESTATE INVESTMENT TRUSTS 0.4%**  |  |  |
| **REAL ESTATE 0.4%**  |  |  |
| **VICI Properties, Inc.** | 33427 | 913 |
| Total Real Estate Investment Trusts (Cost $477) |  | 913 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 3.0%**  |  |  |
| **EGYPT TREASURY BILLS 0.4%**  |  |  |
| 24.108% due 08/04/2026 - 11/17/2026 (e)(f) | 56300 | 928 |
| **NIGERIA TREASURY BILLS 2.2%**  |  |  |
| 26.904% due 06/11/2026 - 01/28/2027 (e)(f) | 7042190 | 4684 |
| **U.S. TREASURY BILLS 0.4%**  |  |  |
| 3.655% due 04/21/2026 - 07/21/2026 (e)(f)(l) | $761 | 758 |
| Total Short-Term Instruments (Cost $6,198) |  | 6370 |
| Total Investments in Securities (Cost $608,743) |  | 554064 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 9.6%**  |  |  |
| **SHORT-TERM INSTRUMENTS 9.6%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 9.6%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 2099495 | 20447 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | |
|:---|:---|
| Total Short-Term Instruments (Cost $20,446) | 20447 |
| Total Investments in Affiliates (Cost $20,446) | 20447 |
| Total Investments 269.6% (Cost $629,189) | $574511 |
| **Financial Derivative Instruments (j)(k) 0.3**%(Cost or Premiums, net $7,692) | 650 |
| Other Assets and Liabilities, net (169.9)% | (362052) |
| Net Assets 100.0% | $213109 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **µ** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(c)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(d)** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** |
| **(e)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(f)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(g)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(h)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Issuer Description | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets |
| AmSurg Corp. | AmSurg Corp. | AmSurg Corp. | 11/02/2023 - 11/06/2023 | 11/02/2023 - 11/06/2023 | $8047 | 8047 | $8469 | 8469 | 3.97 |
| Country Garden Holdings Co. Ltd. 0.000% due 12/31/2031 | Country Garden Holdings Co. Ltd. 0.000% due 12/31/2031 | Country Garden Holdings Co. Ltd. 0.000% due 12/31/2031 | 12/30/2025 | 12/30/2025 | 62 | 62 | 49 | 49 | 0.02 |
| Incora New Equity | Incora New Equity | Incora New Equity | 01/31/2025 | 01/31/2025 | 5919 | 5919 | 4615 | 4615 | 2.17 |
| Incora Top Holdco LLC 6.000% due 01/30/2033 | Incora Top Holdco LLC 6.000% due 01/30/2033 | Incora Top Holdco LLC 6.000% due 01/30/2033 | 01/31/2025 - 01/31/2026 | 01/31/2025 - 01/31/2026 | 2775 | 2775 | 4203 | 4203 | 1.97 |
| Luxco Co. Ltd. | Luxco Co. Ltd. | Luxco Co. Ltd. | 10/01/2025 | 10/01/2025 | 331 | 331 | 348 | 348 | 0.16 |
| MNSN Holdings, Inc. | MNSN Holdings, Inc. | MNSN Holdings, Inc. | 03/16/2023 - 03/17/2023 | 03/16/2023 - 03/17/2023 | 12 | 12 | 65 | 65 | 0.03 |
| Steinhoff International Holdings NV | Steinhoff International Holdings NV | Steinhoff International Holdings NV | 06/30/2023 - 10/30/2023 | 06/30/2023 - 10/30/2023 | 0 | 0 | 0 | 0 | 0.00 |
| Syniverse Holdings, Inc. | Syniverse Holdings, Inc. | Syniverse Holdings, Inc. | 05/12/2022 - 11/30/2025 | 05/12/2022 - 11/30/2025 | 1118 | 1118 | 953 | 953 | 0.45 |
| Westmoreland Mining Holdings | Westmoreland Mining Holdings | Westmoreland Mining Holdings | 03/26/2019 | 03/26/2019 | 0 | 0 | 0 | 0 | 0.00 |
| Westmoreland Mining LLC | Westmoreland Mining LLC | Westmoreland Mining LLC | 06/30/2023 - 02/03/2025 | 06/30/2023 - 02/03/2025 | 1 | 1 | 1 | 1 | 0.00 |
|  |  |  |  | $ | 18265 | $ | 18703 | 8.78%  | 8.78%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(1)</sup> | Settlement Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(1)</sup> | Amount<br>Borrowed<sup>(1)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BPS | BPS | 4.380%  | 03/18/2026 | 09/14/2026 | 09/14/2026 | (4983) | (4983) | (4991) | (4991) |
|  |  | 4.830  | 01/27/2026 | 07/23/2026 | 07/23/2026 | (2550) | (2550) | (2572) | (2572) |
|  |  | 5.170  | 01/22/2026 | 04/22/2026 | 04/22/2026 | (3814) | (3814) | (3852) | (3852) |
| BRC | BRC | 4.070  | 03/13/2026 | 04/13/2026 | 04/13/2026 | (3469) | (3469) | (3477) | (3477) |
| BYR | BYR | 3.850  | 12/12/2025 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | (693) | (693) | (701) | (701) |
|  |  | 4.130  | 02/03/2026 | 07/31/2026 | 07/31/2026 | (4056) | (4056) | (4083) | (4083) |
|  |  | 4.130  | 03/10/2026 | 07/31/2026 | 07/31/2026 | (1473) | (1473) | (1477) | (1477) |
|  |  | 4.130  | 03/18/2026 | 04/21/2026 | 04/21/2026 | (1971) | (1971) | (1974) | (1974) |
| CIB | CIB | 3.790  | 03/12/2026 | 04/13/2026 | 04/13/2026 | (5916) | (5916) | (5929) | (5929) |
| DBL | DBL | 3.950  | 03/26/2026 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | (270) | (270) | (270) | (270) |
|  |  | 4.100  | 03/06/2026 | 04/06/2026 | 04/06/2026 | (1884) | (1884) | (1890) | (1890) |
|  |  | 4.120  | 03/13/2026 | 05/08/2026 | 05/08/2026 | (1966) | (1966) | (1971) | (1971) |
|  |  | 4.620  | 03/13/2026 | 05/08/2026 | 05/08/2026 | (812) | (812) | (814) | (814) |
|  |  | 4.670  | 03/13/2026 | 05/08/2026 | 05/08/2026 | (1528) | (1528) | (1532) | (1532) |
| DEU | DEU | 3.960  | 02/13/2026 | 05/14/2026 | 05/14/2026 | (2664) | (2664) | (2678) | (2678) |
| GSC | GSC | 3.790  | 03/12/2026 | 04/13/2026 | 04/13/2026 | (5717) | (5717) | (5729) | (5729) |
| IND | IND | 4.030  | 01/08/2026 | 04/08/2026 | 04/08/2026 | (1284) | (1284) | (1296) | (1296) |
|  |  | 4.060  | 03/16/2026 | 06/16/2026 | 06/16/2026 | (190) | (190) | (190) | (190) |
|  |  | 4.080  | 02/12/2026 | 05/13/2026 | 05/13/2026 | (597) | (597) | (600) | (600) |
|  |  | 4.090  | 03/04/2026 | 06/04/2026 | 06/04/2026 | (1131) | (1131) | (1134) | (1134) |
|  |  | 4.110  | 03/17/2026 | 06/16/2026 | 06/16/2026 | (1249) | (1249) | (283) | (283) |
|  |  | 4.110  | 03/30/2026 | 06/16/2026 | 06/16/2026 | (472) | (472) | (472) | (472) |
|  |  | 4.140  | 02/12/2026 | 05/13/2026 | 05/13/2026 | (692) | (692) | (696) | (696) |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  |  |  | 4.150  | 4.150  | 01/08/2026 | 01/08/2026 | 01/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 |  | (349) | (349) |  | (353) | (353) |
|  |  |  |  |  |  |  | 4.150  | 4.150  | 01/28/2026 | 01/28/2026 | 01/28/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 |  | (720) | (720) |  | (726) | (726) |
|  |  |  |  |  |  |  | 4.160  | 4.160  | 03/16/2026 | 03/16/2026 | 03/16/2026 | 06/16/2026 | 06/16/2026 | 06/16/2026 | 06/16/2026 |  | (569) | (569) |  | (570) | (570) |
|  |  |  |  |  |  |  | 4.160  | 4.160  | 03/17/2026 | 03/17/2026 | 03/17/2026 | 06/16/2026 | 06/16/2026 | 06/16/2026 | 06/16/2026 |  | (748) | (748) |  | (749) | (749) |
|  |  |  |  |  |  |  | 4.190  | 4.190  | 01/16/2026 | 01/16/2026 | 01/16/2026 | 04/15/2026 | 04/15/2026 | 04/15/2026 | 04/15/2026 |  | (208) | (208) |  | (209) | (209) |
|  |  |  |  |  |  |  | 4.210  | 4.210  | 02/09/2026 | 02/09/2026 | 02/09/2026 | 05/11/2026 | 05/11/2026 | 05/11/2026 | 05/11/2026 |  | (823) | (823) |  | (828) | (828) |
|  |  |  |  |  |  |  | 4.390  | 4.390  | 01/16/2026 | 01/16/2026 | 01/16/2026 | 06/15/2026 | 06/15/2026 | 06/15/2026 | 06/15/2026 |  | (1458) | (1458) |  | (1471) | (1471) |
| JML | JML | JML | JML | JML | JML | JML | 4.100  | 4.100  | 03/20/2026 | 03/20/2026 | 03/20/2026 | 05/01/2026 | 05/01/2026 | 05/01/2026 | 05/01/2026 |  | (2813) | (2813) |  | (2816) | (2816) |
| MSB | MSB | MSB | MSB | MSB | MSB | MSB | 4.430  | 4.430  | 03/31/2026 | 03/31/2026 | 03/31/2026 | 09/30/2026 | 09/30/2026 | 09/30/2026 | 09/30/2026 |  | (1278) | (1278) |  | (1278) | (1278) |
|  |  |  |  |  |  |  | 4.680  | 4.680  | 03/18/2026 | 03/18/2026 | 03/18/2026 | 07/16/2026 | 07/16/2026 | 07/16/2026 | 07/16/2026 |  | (707) | (707) |  | (708) | (708) |
| RCY | RCY | RCY | RCY | RCY | RCY | RCY | 4.180  | 4.180  | 03/13/2026 | 03/13/2026 | 03/13/2026 | 04/13/2026 | 04/13/2026 | 04/13/2026 | 04/13/2026 |  | (615) | (615) |  | (616) | (616) |
| SBI | SBI | SBI | SBI | SBI | SBI | SBI | 3.820  | 3.820  | 03/12/2026 | 03/12/2026 | 03/12/2026 | 04/13/2026 | 04/13/2026 | 04/13/2026 | 04/13/2026 |  | (3883) | (3883) |  | (3891) | (3891) |
| SOG | SOG | SOG | SOG | SOG | SOG | SOG | 2.110  | 2.110  | 02/26/2026 | 02/26/2026 | 02/26/2026 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | EUR | (1720) | (1720) |  | (1992) | (1992) |
|  |  |  |  |  |  |  | 3.910  | 3.910  | 12/12/2025 | 12/12/2025 | 12/12/2025 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | $ | (580) | (580) |  | (587) | (587) |
|  |  |  |  |  |  |  | 3.990  | 3.990  | 03/10/2026 | 03/10/2026 | 03/10/2026 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> |  | (3120) | (3120) |  | (3128) | (3128) |
|  |  |  |  |  |  |  | 4.090  | 4.090  | 01/08/2026 | 01/08/2026 | 01/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 |  | (2703) | (2703) |  | (2729) | (2729) |
|  |  |  |  |  |  |  | 4.090  | 4.090  | 02/03/2026 | 02/03/2026 | 02/03/2026 | 04/09/2026 | 04/09/2026 | 04/09/2026 | 04/09/2026 |  | (973) | (973) |  | (979) | (979) |
|  |  |  |  |  |  |  | 4.090  | 4.090  | 02/05/2026 | 02/05/2026 | 02/05/2026 | 05/06/2026 | 05/06/2026 | 05/06/2026 | 05/06/2026 |  | (3625) | (3625) |  | (3648) | (3648) |
|  |  |  |  |  |  |  | 4.100  | 4.100  | 01/21/2026 | 01/21/2026 | 01/21/2026 | 04/16/2026 | 04/16/2026 | 04/16/2026 | 04/16/2026 |  | (1296) | (1296) |  | (1306) | (1306) |
|  |  |  |  |  |  |  | 4.190  | 4.190  | 01/08/2026 | 01/08/2026 | 01/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 |  | (633) | (633) |  | (640) | (640) |
|  |  |  |  |  |  |  | 4.190  | 4.190  | 03/17/2026 | 03/17/2026 | 03/17/2026 | 04/07/2026 | 04/07/2026 | 04/07/2026 | 04/07/2026 |  | (664) | (664) |  | (665) | (665) |
|  |  |  |  |  |  |  | 4.190  | 4.190  | 03/17/2026 | 03/17/2026 | 03/17/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 | 04/08/2026 |  | (588) | (588) |  | (589) | (589) |
|  |  |  |  |  |  |  | 4.210  | 4.210  | 02/09/2026 | 02/09/2026 | 02/09/2026 | 05/04/2026 | 05/04/2026 | 05/04/2026 | 05/04/2026 |  | (926) | (926) |  | (931) | (931) |
|  |  |  |  |  |  |  | 4.220  | 4.220  | 02/26/2026 | 02/26/2026 | 02/26/2026 | 04/16/2026 | 04/16/2026 | 04/16/2026 | 04/16/2026 |  | (729) | (729) |  | (732) | (732) |
|  |  |  |  |  |  |  | 4.220  | 4.220  | 03/17/2026 | 03/17/2026 | 03/17/2026 | 05/26/2026 | 05/26/2026 | 05/26/2026 | 05/26/2026 |  | (234) | (234) |  | (235) | (235) |
| TDM | TDM | TDM | TDM | TDM | TDM | TDM | 3.770  | 3.770  | 12/12/2025 | 12/12/2025 | 12/12/2025 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> |  | (393) | (393) |  | (398) | (398) |
|  |  |  |  |  |  |  | 3.900  | 3.900  | 12/12/2025 | 12/12/2025 | 12/12/2025 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> |  | (1138) | (1138) |  | (1151) | (1151) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  |  |  |  |  |  |  | **$** | $**(82536)** | **(82536)** |
| **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** |
| Description | Description | Description | Description | Description | Description | Description | Description | Description | Description | Description | Coupon | Coupon | Maturity<br>Date | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | Principal<br>Amount | Proceeds | Proceeds | Proceeds | Payable for<br>Short Sales |
| U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% | U.S. Government Agencies (3.5)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.000% | 2.000% | 04/01/2041 | 04/01/2041 | $ | 200 | 200 | (186) | (186) | (186) | $(184) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.000 | 2.000 | 05/01/2056 | 05/01/2056 |  | 1950 | 1950 | (1562) | (1562) | (1562) | (1570) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.500 | 2.500 | 05/01/2056 | 05/01/2056 |  | 600 | 600 | (503) | (503) | (503) | (504) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 4.500 | 4.500 | 04/01/2056 | 04/01/2056 |  | 1840 | 1840 | (1794) | (1794) | (1794) | (1776) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 4.500 | 4.500 | 06/01/2056 | 06/01/2056 |  | 1500 | 1500 | (1442) | (1442) | (1442) | (1446) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 5.000 | 5.000 | 04/01/2056 | 04/01/2056 |  | 140 | 140 | (139) | (139) | (139) | (138) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 5.500 | 5.500 | 05/01/2056 | 05/01/2056 |  | 1900 | 1900 | (1915) | (1915) | (1915) | (1906) |
| **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** | **Total Short Sales (3.5)%** |  |  |  |  |  |  |  | **(7541)** | **(7541)** | **(7541)** | $**(7524)** |
| **(i)** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $92,831 and cash of $592 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** |
| <sup>(1)</sup> | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(85801) at a weighted average interest rate of 4.507%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| <sup>(2)</sup> | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. |
| **(j)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability |
| U.S. Treasury 10-Year Note June Futures  | U.S. Treasury 10-Year Note June Futures  | U.S. Treasury 10-Year Note June Futures  | U.S. Treasury 10-Year Note June Futures  | U.S. Treasury 10-Year Note June Futures  | U.S. Treasury 10-Year Note June Futures  | 06/2026 | 06/2026 | 18 | 18 | 1999 | 1999 | 1999 | 1999 | $(41) | (41) | (41) | $ | 4 | 4 | $ | 0 |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2026 | 06/2026 | 4 | 4 | (963) | (963) | (963) | (963) | $15 | 15 | 15 | $ | 0 | 0 | $ | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **(26)** | **(26)** | **(26)** | **$** | **4** | **4** | **$** | **0** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Reference Entity | Fixed <br>(Pay) Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Notional<br>Amount<sup>(4)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) |  |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Market<br>Value<sup>(5)</sup> | Market<br>Value<sup>(5)</sup> | Asset | Asset | Asset | Liability |
| Boeing Co.  | Boeing Co.  | (1.000)% | Quarterly | 06/20/2026 | 0.213 | 0.213 | % | $900 | 900 | $(3) | (3) | $ | $ | 1 | $ | $(2) | (2) | $0 | 0 | 0 | $0 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Reference Entity | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Market<br>Value<sup>(5)</sup> | Market<br>Value<sup>(5)</sup> | Asset |  | Liability |
| AT&T, Inc.  | AT&T, Inc.  | 1.000% | Quarterly | 06/20/2028 | 06/20/2028 | 0.395 | 0.395 | % | $500 | (5) | $ | 12 | $ | 7 | 7 | 0 | $ | 0 |
| Boeing Co.  | Boeing Co.  | 1.000 | Quarterly | 12/20/2030 | 12/20/2030 | 0.712 | 0.712 |  | 1200 | 20 |  | (5) |  | 15 | 15 | 1 |  | 0 |
| Discovery Global Holdings, Inc.  | Discovery Global Holdings, Inc.  | 1.000 | Quarterly | 12/20/2026 | 12/20/2026 | 0.970 | 0.970 |  | 1300 | (5) |  | 6 |  | 1 | 1 | 0 |  | 0 |
| Morgan Stanley  | Morgan Stanley  | 1.000 | Quarterly | 06/20/2026 | 06/20/2026 | 0.303 | 0.303 |  | 1600 | 6 |  | (3) |  | 3 | 3 | 0 |  | 0 |
| Oracle Corp.  | Oracle Corp.  | 1.000 | Quarterly | 06/20/2030 | 06/20/2030 | 1.622 | 1.622 |  | 2200 | 48 |  | (99) |  | (51) | (51) | 4 |  | 0 |
| Stellantis NV  | Stellantis NV  | 5.000 | Quarterly | 12/20/2030 | 12/20/2030 | 1.874 | 1.874 |  | 200 | 38 |  | (7) |  | 31 | 31 | 1 |  | 0 |
| Worldline SA/France  | Worldline SA/France  | 5.000 | Quarterly | 12/20/2027 | 12/20/2027 | 10.088 | 10.088 |  | 100 | (9) |  | 0 |  | (9) | (9) | 0 |  | (1) |
|  |  |  |  |  |  |  |  |  |  | 93 | $ | (96) | $ | (3) | (3) | 6 | $ | (1) |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date |  | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Pay | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 3.500% | Annual | Annual | 03/18/2031 | GBP | 12380 | $(54) | (54) | $(474) | (474) | $(528) | (528) | $39 | 39 | $0 |
| Receive | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 0.750 | Annual | Annual | 09/21/2052 |  | 5900 | 680 | 680 | 4209 | 4209 | 4889 | 4889 | 0 | 0 | (11) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.350 | Semi-Annual | Semi-Annual | 01/20/2027 | $ | 3200 | (1) | (1) | 84 | 84 | 83 | 83 | 0 | 0 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.360 | Semi-Annual | Semi-Annual | 02/15/2027 |  | 2130 | 0 | 0 | 55 | 55 | 55 | 55 | 0 | 0 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.450 | Semi-Annual | Semi-Annual | 02/17/2027 |  | 3500 | (1) | (1) | 88 | 88 | 87 | 87 | 0 | 0 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.420 | Semi-Annual | Semi-Annual | 02/24/2027 |  | 1000 | 0 | 0 | 25 | 25 | 25 | 25 | 0 | 0 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.650 | Semi-Annual | Semi-Annual | 02/24/2027 |  | 3400 | (9) | (9) | (69) | (69) | (78) | (78) | 0 | 0 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.000 | Annual | Annual | 06/15/2027 |  | 11200 | (763) | (763) | 131 | 131 | (632) | (632) | 2 | 2 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2027 |  | 28200 | (1308) | (1308) | 134 | 134 | (1174) | (1174) | 7 | 7 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.000 | Annual | Annual | 12/21/2027 |  | 47200 | 3512 | 3512 | (1991) | (1991) | 1521 | 1521 | 0 | 0 | (20) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.420 | Semi-Annual | Semi-Annual | 08/17/2028 |  | 3800 | (1) | (1) | 224 | 224 | 223 | 223 | 0 | 0 | (2) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.370 | Semi-Annual | Semi-Annual | 08/25/2028 |  | 11363 | (3) | (3) | 682 | 682 | 679 | 679 | 0 | 0 | (6) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.500 | Semi-Annual | Semi-Annual | 12/15/2028 |  | 7141 | 97 | 97 | (511) | (511) | (414) | (414) | 4 | 4 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 12/20/2028 |  | 59000 | 1147 | 1147 | (1405) | (1405) | (258) | (258) | 0 | 0 | (37) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.500 | Semi-Annual | Semi-Annual | 01/12/2029 |  | 2365 | 0 | 0 | 160 | 160 | 160 | 160 | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.700 | Semi-Annual | Semi-Annual | 01/12/2029 |  | 8600 | (26) | (26) | (507) | (507) | (533) | (533) | 5 | 5 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.000 | Annual | Annual | 06/15/2029 |  | 2810 | (113) | (113) | (175) | (175) | (288) | (288) | 2 | 2 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2029 |  | 73390 | (5265) | (5265) | (154) | (154) | (5419) | (5419) | 52 | 52 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.000 | Semi-Annual | Semi-Annual | 06/19/2029 |  | 44200 | 2283 | 2283 | (3124) | (3124) | (841) | (841) | 31 | 31 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 06/20/2029 |  | 13500 | (254) | (254) | 219 | 219 | (35) | (35) | 0 | 0 | (11) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.500 | Semi-Annual | Semi-Annual | 12/18/2029 |  | 4500 | (46) | (46) | (309) | (309) | (355) | (355) | 4 | 4 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.000 | Annual | Annual | 12/21/2029 |  | 13700 | (1410) | (1410) | 593 | 593 | (817) | (817) | 12 | 12 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.000 | Annual | Annual | 06/21/2030 |  | 6800 | 179 | 179 | 35 | 35 | 214 | 214 | 0 | 0 | (7) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.000 | Semi-Annual | Semi-Annual | 12/16/2030 |  | 4805 | 21 | 21 | 572 | 572 | 593 | 593 | 0 | 0 | (4) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.500 | Annual | Annual | 12/20/2030 |  | 3900 | 259 | 259 | (238) | (238) | 21 | 21 | 0 | 0 | (4) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.500 | Annual | Annual | 03/18/2031 |  | 77540 | 410 | 410 | (833) | (833) | (423) | (423) | 82 | 82 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Semi-Annual | Semi-Annual | 12/15/2031 |  | 12200 | (165) | (165) | 1490 | 1490 | 1325 | 1325 | 0 | 0 | (11) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.250 | Annual | Annual | 06/15/2032 |  | 38250 | 4949 | 4949 | 1083 | 1083 | 6032 | 6032 | 0 | 0 | (40) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2032 |  | 46980 | 1980 | 1980 | 3924 | 3924 | 5904 | 5904 | 0 | 0 | (48) |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 09/17/2032 |  | 10 |  | 0 |  | 0 |  | 0 |  | 0 | 0 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 03/18/2033 |  | 1760 |  | (32) |  | 29 |  | (3) |  | 0 | 0 |  | (2) |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.000 | Annual | Annual | 06/21/2033 |  | 8305 |  | 320 |  | 135 |  | 455 |  | 0 | 0 |  | (9) |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.500 | Annual | Annual | 12/20/2033 |  | 2510 |  | 42 |  | 3 |  | 45 |  | 0 | 0 |  | (3) |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 06/20/2034 |  | 1300 |  | (46) |  | 52 |  | 6 |  | 0 | 0 |  | (1) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 06/20/2034 |  | 250 |  | (7) |  | 6 |  | (1) |  | 0 | 0 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 12/17/2035 |  | 2490 |  | (41) |  | 62 |  | 21 |  | 0 | 0 |  | (2) |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | Annual | 12/17/2045 |  | 1640 |  | 32 |  | 61 |  | 93 |  | 3 | 3 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.000 | Semi-Annual | Semi-Annual | 01/15/2050 |  | 4400 |  | (31) |  | 1692 |  | 1661 |  | 10 | 10 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Semi-Annual | Semi-Annual | 01/22/2050 |  | 4100 |  | (10) |  | 1713 |  | 1703 |  | 10 | 10 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.875 | Semi-Annual | Semi-Annual | 02/07/2050 |  | 1400 |  | (5) |  | 559 |  | 554 |  | 3 | 3 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.250 | Semi-Annual | Semi-Annual | 12/16/2050 |  | 5700 |  | 537 |  | 2283 |  | 2820 |  | 14 | 14 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.450 | Semi-Annual | Semi-Annual | 04/07/2051 |  | 3500 |  | (2) |  | 1646 |  | 1644 |  | 10 | 10 |  | 0 |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.650 | Semi-Annual | Semi-Annual | 04/08/2051 |  | 2100 |  | 1 |  | (920) |  | (919) |  | 0 | 0 |  | (6) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.500 | Annual | Annual | 06/15/2052 |  | 2800 |  | (106) |  | (1148) |  | (1254) |  | 0 | 0 |  | (8) |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2052 |  | 6900 |  | 1128 |  | 1680 |  | 2808 |  | 19 | 19 |  | 0 |
| Receive | Receive | 1-Year BRL-CDI | 1-Year BRL-CDI | 11.823 | Maturity | Maturity | 01/04/2027 | BRL | 40300 |  | 0 |  | 379 |  | 379 |  | 0 | 0 |  | (11) |
| Pay | Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 12.047 | Maturity | Maturity | 01/04/2027 |  | 39700 |  | 0 |  | (329) |  | (329) |  | 11 | 11 |  | 0 |
| Pay<sup>(6)</sup> | Pay<sup>(6)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 2.500 | Annual | Annual | 09/16/2031 | EUR | 2700 |  | 2 |  | (65) |  | (63) |  | 14 | 14 |  | 0 |
| Receive | Receive | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 0.500 | Annual | Annual | 09/21/2052 |  | 3500 |  | 303 |  | 1618 |  | 1921 |  | 0 | 0 |  | (22) |
| Receive<sup>(6)</sup> | Receive<sup>(6)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 0.830 | Annual | Annual | 12/09/2052 |  | 3700 |  | 23 |  | 434 |  | 457 |  | 4 | 4 |  | 0 |
| Pay | Pay | CAONREPO | CAONREPO | 3.500 | Semi-Annual | Semi-Annual | 06/19/2034 | CAD | 2000 |  | 69 |  | (24) |  | 45 |  | 4 | 4 |  | 0 |
| Receive | Receive | CAONREPO | CAONREPO | 3.500 | Semi-Annual | Semi-Annual | 06/20/2044 |  | 1300 |  | 14 |  | (11) |  | 3 |  | 1 | 1 |  | 0 |
| Pay | Pay | Worldline SA/France | Worldline SA/France | 5.000 | Quarterly | Quarterly | 12/20/2030 | EUR | 2200 |  | (349) |  | (109) |  | (458) |  | 0 | 0 |  | (33) |
|  |  |  |  |  |  |  |  |  | $ | $7940 | 7940 | $13664 | 13664 | $21604 | 21604 | $343 | 343 | 343 | $(299) | (299) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | $**8030** | **8030** | $**13569** | **13569** | $**21599** | **21599** | $**349** | **349** | **349** | $**(300)** | **(300)** |
| **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Cash of $5,494 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** |
| <sup>(1)</sup> | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(4)</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(5)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(6)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(k)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered |  | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Asset | Asset | Liability | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; AZD | &nbsp;&nbsp;&nbsp;&nbsp; AZD | &nbsp;&nbsp;&nbsp;&nbsp; AZD | 04/2026  | 04/2026  | 04/2026  | CAD | 100 | 100 | 100 | $ | $73 | 73 | 73 | 1 | 1 | 1 | 1 | $0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 04/2026  | 04/2026  | 04/2026  | BRL | 590 | 590 | 590 |  | 113 | 113 | 113 | 0 | 0 | 0 | 0 | (1) | (1) | (1) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | DOP | 30347 | 30347 | 30347 |  | 495 | 495 | 495 | 2 | 2 | 2 | 2 | (4) | (4) | (4) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | JPY | 21825 | 21825 | 21825 |  | 137 | 137 | 137 | 0 | 0 | 0 | 0 | (1) | (1) | (1) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $113 | 113 | 113 | BRL | 590 | 590 | 590 | 1 | 1 | 1 | 1 | 0 | 0 | 0 |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | DOP | 909 | 909 | 909 | $ | $14 | 14 | 14 | 0 | 0 | 0 | 0 | (1) | (1) | (1) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | $ | $137 | 137 | 137 | JPY | 21760 | 21760 | 21760 | 1 | 1 | 1 | 1 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 04/2026  | 04/2026  | 04/2026  | TRY | 78967 | 78967 | 78967 | $ | $1716 | 1716 | 1716 | 0 | 0 | 0 | 0 | (26) | (26) | (26) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $3092 | 3092 | 3092 | TRY | 138990 | 138990 | 138990 | 17 | 17 | 17 | 17 | 0 | 0 | 0 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | 05/2026  | 05/2026  | TRY | 21245 | 21245 | 21245 | $ | 456 | 456 |  | 0 | 0 |  | (2) | (2) |
|  |  |  | 05/2026  | 05/2026  | $ | $411 | 411 | 411 | TRY | 19046 | 19046 |  | 0 | 0 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BSH | &nbsp;&nbsp;&nbsp;&nbsp; BSH | &nbsp;&nbsp;&nbsp;&nbsp; BSH | 04/2026  | 04/2026  | JPY | 120636 | 120636 | 120636 | $ | 756 | 756 |  | 0 | 0 |  | (5) | (5) |
|  |  |  | 04/2026  | 04/2026  | $ | $5853 | 5853 | 5853 | GBP | 4397 | 4397 |  | 0 | 0 |  | (33) | (33) |
|  |  |  | 05/2026  | 05/2026  | GBP | 4397 | 4397 | 4397 | $ | 5853 | 5853 |  | 33 | 33 |  | 0 | 0 |
|  |  |  | 05/2026  | 05/2026  | $ | $756 | 756 | 756 | JPY | 120272 | 120272 |  | 5 | 5 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 04/2026  | 04/2026  | COP | 675480 | 675480 | 675480 | $ | 178 | 178 |  | 0 | 0 |  | (6) | (6) |
|  |  |  | 06/2026  | 06/2026  |  | 326933 | 326933 | 326933 |  | 86 | 86 |  | 0 | 0 |  | (2) | (2) |
| &nbsp;&nbsp;&nbsp;&nbsp; FAR | &nbsp;&nbsp;&nbsp;&nbsp; FAR | &nbsp;&nbsp;&nbsp;&nbsp; FAR | 04/2026  | 04/2026  | EUR | 1906 | 1906 | 1906 |  | 2213 | 2213 |  | 10 | 10 |  | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | GBP | 6044 | 6044 | 6044 |  | 8167 | 8167 |  | 168 | 168 |  | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | JPY | 150202 | 150202 | 150202 |  | 941 | 941 |  | 0 | 0 |  | (5) | (5) |
|  |  |  | 04/2026  | 04/2026  | $ | $232 | 232 | 232 | EUR | 199 | 199 |  | 0 | 0 |  | (2) | (2) |
|  |  |  | 04/2026  | 04/2026  |  | 301 | 301 | 301 | JPY | 47053 | 47053 |  | 0 | 0 |  | (5) | (5) |
|  |  |  | 05/2026  | 05/2026  |  | 941 | 941 | 941 |  | 149749 | 149749 |  | 5 | 5 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; GLM | &nbsp;&nbsp;&nbsp;&nbsp; GLM | &nbsp;&nbsp;&nbsp;&nbsp; GLM | 04/2026  | 04/2026  | BRL | 1918 | 1918 | 1918 | $ | 361 | 361 |  | 0 | 0 |  | (9) | (9) |
|  |  |  | 04/2026  | 04/2026  | $ | $359 | 359 | 359 | BRL | 1918 | 1918 |  | 11 | 11 |  | 0 | 0 |
|  |  |  | 05/2026  | 05/2026  | DOP | 27527 | 27527 | 27527 | $ | 426 | 426 |  | 0 | 0 |  | (27) | (27) |
|  |  |  | 06/2026  | 06/2026  |  | 4050 | 4050 | 4050 |  | 66 | 66 |  | 0 | 0 |  | 0 | 0 |
|  |  |  | 06/2026  | 06/2026  | $ | $361 | 361 | 361 | BRL | 1944 | 1944 |  | 9 | 9 |  | 0 | 0 |
|  |  |  | 06/2026  | 06/2026  |  | 177 | 177 | 177 | MXN | 3097 | 3097 |  | 0 | 0 |  | (6) | (6) |
|  |  |  | 07/2026  | 07/2026  | DOP | 2640 | 2640 | 2640 | $ | 43 | 43 |  | 0 | 0 |  | 0 | 0 |
|  |  |  | 08/2026  | 08/2026  |  | 14023 | 14023 | 14023 |  | 224 | 224 |  | 0 | 0 |  | (4) | (4) |
|  |  |  | 08/2026  | 08/2026  | NGN | 29925 | 29925 | 29925 |  | 19 | 19 |  | 0 | 0 |  | (2) | (2) |
|  |  |  | 09/2026  | 09/2026  | DOP | 27956 | 27956 | 27956 |  | 464 | 464 |  | 12 | 12 |  | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp; IND | &nbsp;&nbsp;&nbsp;&nbsp; IND | &nbsp;&nbsp;&nbsp;&nbsp; IND | 04/2026  | 04/2026  | EUR | 23897 | 23897 | 23897 |  | 28217 | 28217 |  | 596 | 596 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 04/2026  | 04/2026  | MXN | 3119 | 3119 | 3119 |  | 174 | 174 |  | 0 | 0 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 04/2026  | 04/2026  | GBP | 103 | 103 | 103 |  | 138 | 138 |  | 2 | 2 |  | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | JPY | 46430 | 46430 | 46430 |  | 290 | 290 |  | 0 | 0 |  | (2) | (2) |
|  |  |  | 04/2026  | 04/2026  | $ | $614 | 614 | 614 | EUR | 531 | 531 |  | 1 | 1 |  | (1) | (1) |
|  |  |  | 04/2026  | 04/2026  |  | 328 | 328 | 328 | JPY | 50943 | 50943 |  | 0 | 0 |  | (7) | (7) |
|  |  |  | 05/2026  | 05/2026  |  | 290 | 290 | 290 |  | 46290 | 46290 |  | 2 | 2 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; NGF | &nbsp;&nbsp;&nbsp;&nbsp; NGF | &nbsp;&nbsp;&nbsp;&nbsp; NGF | 04/2026  | 04/2026  |  | 452 | 452 | 452 | TRY | 20800 | 20800 |  | 1 | 1 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; RYL | &nbsp;&nbsp;&nbsp;&nbsp; RYL | &nbsp;&nbsp;&nbsp;&nbsp; RYL | 04/2026  | 04/2026  |  | 2976 | 2976 | 2976 | EUR | 2540 | 2540 |  | 0 | 0 |  | (40) | (40) |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 04/2026  | 04/2026  |  | 72 | 72 | 72 | CAD | 100 | 100 |  | 0 | 0 |  | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  |  | 273 | 273 | 273 | EUR | 235 | 235 |  | 0 | 0 |  | (1) | (1) |
|  |  |  | 04/2026  | 04/2026  |  | 2320 | 2320 | 2320 | GBP | 1750 | 1750 |  | 0 | 0 |  | (3) | (3) |
|  |  |  | 04/2026  | 04/2026  |  | 237 | 237 | 237 | JPY | 37005 | 37005 |  | 0 | 0 |  | (4) | (4) |
|  |  |  | 05/2026  | 05/2026  | CAD | 100 | 100 | 100 | $ | 72 | 72 |  | 0 | 0 |  | 0 | 0 |
|  |  |  | 11/2026  | 11/2026  | NGN | 21028 | 21028 | 21028 |  | 13 | 13 |  | 0 | 0 |  | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp; SOG | &nbsp;&nbsp;&nbsp;&nbsp; SOG | &nbsp;&nbsp;&nbsp;&nbsp; SOG | 04/2026  | 04/2026  | EUR | 2206 | 2206 | 2206 |  | 2610 | 2610 |  | 60 | 60 |  | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | $ | $28546 | 28546 | 28546 | EUR | 24722 | 24722 |  | 45 | 45 |  | (16) | (16) |
|  |  |  | 04/2026  | 04/2026  |  | 1312 | 1312 | 1312 | JPY | 204108 | 204108 |  | 0 | 0 |  | (26) | (26) |
|  |  |  | 05/2026  | 05/2026  | EUR | 24142 | 24142 | 24142 | $ | 27904 | 27904 |  | 0 | 0 |  | (44) | (44) |
|  |  |  | 05/2026  | 05/2026  | JPY | 337000 | 337000 | 337000 |  | 2121 | 2121 |  | 0 | 0 |  | (9) | (9) |
|  |  |  | 06/2026  | 06/2026  | EGP | 464 | 464 | 464 |  | 9 | 9 |  | 1 | 1 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SSB | &nbsp;&nbsp;&nbsp;&nbsp; SSB | &nbsp;&nbsp;&nbsp;&nbsp; SSB | 08/2026  | 08/2026  | COP | 594114 | 594114 | 594114 |  | 156 | 156 |  | 0 | 0 |  | (1) | (1) |
|  |  |  | 09/2026  | 09/2026  |  | 12795420 | 12795420 | 12795420 |  | 3299 | 3299 |  | 0 | 0 |  | (55) | (55) |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 04/2026  | 04/2026  | EUR | 218 | 218 | 218 |  | 252 | 252 |  | 0 | 0 |  | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | $ | $100 | 100 | 100 | COP | 371785 | 371785 |  | 1 | 1 |  | 0 | 0 |
|  |  |  | 06/2026  | 06/2026  | COP | 377270 | 377270 | 377270 | $ | 100 | 100 |  | 0 | 0 |  | (1) | (1) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | $**984** | **984** | **984** | $**(353)** | **(353)** | **(353)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Counterparty | Reference Entity | Reference Entity | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>March 31, 2026<sup>(2)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(2)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| BOA | BOA | Panama Government International Bonds  | Panama Government International Bonds  | 1.000% | 1.000% | Quarterly | 12/20/2028 | 0.787% | 0.787% | 0.787% | $1500 | (62) | (62) | $71 | 9 | 9 | $0 |
| BRC | BRC | Egypt Government International Bonds  | Egypt Government International Bonds  | 1.000 | 1.000 | Quarterly | 12/20/2028 | 3.550 | 3.550 | 3.550 | 700 | (121) | (121) | 77 | 0 | 0 | (44) |
|  |  | Egypt Government International Bonds  | Egypt Government International Bonds  | 1.000 | 1.000 | Quarterly | 06/20/2029 | 3.628 | 3.628 | 3.628 | 400 | (85) | (85) | 55 | 0 | 0 | (30) |
|  |  | Panama Government International Bonds  | Panama Government International Bonds  | 1.000 | 1.000 | Quarterly | 12/20/2028 | 0.787 | 0.787 | 0.787 | 1600 | (66) | (66) | 75 | 9 | 9 | 0 |
| CBK | CBK | Israel Government International Bonds  | Israel Government International Bonds  | 1.000 | 1.000 | Quarterly | 06/20/2027 | 0.387 | 0.387 | 0.387 | 1100 | (6) | (6) | 15 | 9 | 9 | 0 |
|  |  | Israel Government International Bonds  | Israel Government International Bonds  | 1.000 | 1.000 | Quarterly | 06/20/2030 | 0.710 | 0.710 | 0.710 | 100 | (1) | (1) | 2 | 1 | 1 | 0 |
|  |  | Panama Government International Bonds  | Panama Government International Bonds  | 1.000 | 1.000 | Quarterly | 06/20/2026 | 0.516 | 0.516 | 0.516 | 600 | 1 | 1 | 0 | 1 | 1 | 0 |
| GST | GST | Equinix, Inc.  | Equinix, Inc.  | 5.000 | 5.000 | Quarterly | 06/20/2027 | 0.478 | 0.478 | 0.478 | 500 | 70 | 70 | (42) | 28 | 28 | 0 |
|  |  | Soft Bank Group,Inc.  | Soft Bank Group,Inc.  | 1.000 | 1.000 | Quarterly | 06/20/2026 | 1.662 | 1.662 | 1.662 | 2400 | (20) | (20) | 17 | 0 | 0 | (3) |
| JPM | JPM | Israel Government International Bonds  | Israel Government International Bonds  | 1.000 | 1.000 | Quarterly | 06/20/2030 | 0.710 | 0.710 | 0.710 | 100 | (1) | (1) | 2 | 1 | 1 | 0 |
| MYC | MYC | Nissan Motor Co. Ltd.  | Nissan Motor Co. Ltd.  | 1.000 | 1.000 | Quarterly | 12/20/2030 | 2.738 | 2.738 | 2.738 | 15100 | (8) | (8) | 1 | 0 | 0 | (7) |
|  |  | Petroleos Mexicanos  | Petroleos Mexicanos  | 1.000 | 1.000 | Quarterly | 12/20/2028 | 2.711 | 2.711 | 2.711 | $200 | (39) | (39) | 31 | 0 | 0 | (8) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **(338)** | **(338)** | $**304** | **58** | **58** | $**(92)** |
| **(l)** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $372 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <sup>(1)</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: |
| Category and Subcategory | Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value<br>at 03/31/2026 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | Loan Participations and Assignments | $0 | $22905 | $16628 | $39533 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | Banking & Finance | 0 | 20853 | 0 | 20853 |
| Industrials | Industrials | 0 | 37337 | 8196 | 45533 |
| Utilities | Utilities | 0 | 8717 | 50 | 8767 |
| Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes |
| Banking & Finance | Banking & Finance | 0 | 156 | 0 | 156 |
| Industrials | Industrials | 0 | 331 | 0 | 331 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| California | California | 0 | 41 | 0 | 41 |
| Michigan | Michigan | 0 | 2300 | 0 | 2300 |
| West Virginia | West Virginia | 0 | 2351 | 0 | 2351 |
| U.S. Government Agencies | U.S. Government Agencies | 0 | 326173 | 0 | 326173 |
| U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 393 | 0 | 393 |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 40102 | 0 | 40102 |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities |
| Home Equity Other | Home Equity Other | 0 | 3354 | 0 | 3354 |
| Manufacturing House ABS Other | Manufacturing House ABS Other | 0 | 1 | 0 | 1 |
| Manufacturing House Sequential | Manufacturing House Sequential | 0 | 268 | 0 | 268 |
| Other ABS | Other ABS | 0 | 2495 | 3446 | 5941 |
| Sovereign Issues | Sovereign Issues | 0 | 22926 | 0 | 22926 |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Communication Services | Communication Services | 1199 | 72 | 1619 | 2890 |
| Financials | Financials | 2 | 3138 | 0 | 3140 |
| Health Care | Health Care | 0 | 0 | 8469 | 8469 |
| Industrials | Industrials | 0 | 0 | 4964 | 4964 |
| Real Estate | Real Estate | 0 | 8 | 65 | 73 |
| Warrants | Warrants | Warrants | Warrants | Warrants | Warrants |
| Communication Services | Communication Services | 0 | 61 | 0 | 61 |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | Banking & Finance | 0 | 1296 | 5234 | 6530 |
| Industrials | Industrials | 0 | 678 | 953 | 1631 |
| Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts |
| Real Estate | Real Estate | 913 | 0 | 0 | 913 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Egypt Treasury Bills | Egypt Treasury Bills | 0 | 928 | 0 | 928 |
| Nigeria Treasury Bills | Nigeria Treasury Bills | 0 | 4684 | 0 | 4684 |
| U.S. Treasury Bills | U.S. Treasury Bills | 0 | 758 | 0 | 758 |
|  |  | $2114 | $502326 | $49624 | $554064 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $20447 | $0 | $0 | $20447 |
| Total Investments | Total Investments | $22561 | $502326 | $49624 | $574511 |
| **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  |
| U.S. Government Agencies | U.S. Government Agencies | $0 | $(7524) | $0 | $(7524) |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | 353 | 0 | 353 |
| Over the counter | Over the counter | 0 | 1042 | 0 | 1042 |
|  |  | $0 | $1395 | $0 | $1395 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | (300) | 0 | (300) |
| Over the counter | Over the counter | 0 | (445) | 0 | (445) |
|  |  | $0 | $(745) | $0 | $(745) |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | $0 | $650 | $0 | $650 |

---

------

<br> Schedule of Investments PIMCO Strategic Income Fund, Inc. (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Totals | Totals | Totals | Totals | Totals | Totals | $22561 | 22561 | 22561 | 22561 | $495452 | 495452 | 495452 | $49624 | 49624 | 49624 | $ | $ | 567637 |  |
| **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** |
| Category and Subcategory | Beginning<br>Balance<br>at 06/30/2025 | Net<br>Purchases | Net<br>Sales/Settlements | Net<br>Sales/Settlements | Accrued<br>Discounts/<br>(Premiums) | Accrued<br>Discounts/<br>(Premiums) | Accrued<br>Discounts/<br>(Premiums) | Realized<br>Gain/(Loss) | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(1)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(1)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(1)</sup> | Transfers into<br>Level 3 | Transfers into<br>Level 3 | Transfers out<br>of Level 3 | Transfers out<br>of Level 3 | Transfers out<br>of Level 3 | Ending<br>Balance<br>at 03/31/2026 | Ending<br>Balance<br>at 03/31/2026 | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>03/31/2026<sup>(1)</sup> |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | 5655 | 2742 | $ | $(2172) | $ | 19 | $ | $4 | $ | 300 | $ | $10080 | 10080 | $0 | 0 | 0 | $ | 16628 | 51 |
| Corporate Bonds & Notes |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industrials | 8899 | 525 |  | (2243) |  | 23 |  | 0 |  | 992 |  | 0 | 0 | 0 | 0 | 0 |  | 8196 | 418 |
| Utilities | 0 | 43 |  | 0 |  | (1) |  | 0 |  | 8 |  | 0 | 0 | 0 | 0 | 0 |  | 50 | 8 |
| Asset-Backed Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Other ABS | 3605 | 0 |  | (10) |  | 0 |  | (5237) |  | 5088 |  | 0 | 0 | 0 | 0 | 0 |  | 3446 | (160) |
| Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Communication Services | 632 | 0 |  | (496) |  | 0 |  | 366 |  | 1117 |  | 0 | 0 | 0 | 0 | 0 |  | 1619 | 1537 |
| Financials | 3412 | 0 |  | (3495) |  | 0 |  | (3280) |  | 3363 |  | 0 | 0 | 0 | 0 | 0 |  | 0 | 0 |
| Health Care | 8694 | 0 |  | 0 |  | 0 |  | 0 |  | (225) |  | 0 | 0 | 0 | 0 | 0 |  | 8469 | (225) |
| Industrials | 4118 | 1125 |  | (807) |  | 0 |  | 13 |  | 515 |  | 0 | 0 | 0 | 0 | 0 |  | 4964 | 515 |
| Real Estate | 4 | 0 |  | 0 |  | 0 |  | 0 |  | 61 |  | 0 | 0 | 0 | 0 | 0 |  | 65 | 61 |
| Warrants |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Communication Services | 109 | 0 |  | (98) |  | 0 |  | 26 |  | (37) |  | 0 | 0 | 0 | 0 | 0 |  | 0 | 0 |
| Financials | 2 | 0 |  | (8) |  | 0 |  | (2654) |  | 2660 |  | 0 | 0 | 0 | 0 | 0 |  | 0 | 0 |
| Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Banking & Finance | 0 | 5220 |  | 0 |  | 0 |  | 0 |  | 14 |  | 0 | 0 | 0 | 0 | 0 |  | 5234 | 14 |
| Industrials | 1009 | 67 |  | 0 |  | 0 |  | 0 |  | (123) |  | 0 | 0 | 0 | 0 | 0 |  | 953 | (123) |
| Totals | 36139 | 9722 | $ | $(9329) | $ | 41 | $ | $(10762) | $ | 13733 | $ | $10080 | 10080 | $0 | 0 | 0 | $ | 49624 | 2096 |
| <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) |
| Category and Subcategory | Category and Subcategory | Ending<br>Balance<br>at 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs |  | Input Value(s) | Input Value(s) | Input Value(s) | Weighted Average |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | Loan Participations and Assignments | $3980 | 3980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | X | 16.360 | 16.360 | 16.360 |  |
|  |  | 2488 | 2488 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 9.620 | 9.620 | 9.620 |  |
|  |  | 10160 | 10160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote |  | 43.500 - 97.750 | 43.500 - 97.750 | 43.500 - 97.750 | 95.371 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Industrials | Industrials | 8196 | 8196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | X/% | - | - | - |  |
| Utilities | Utilities | 50 | 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | EU<br> R | 12.000 | 12.000 | 12.000 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities |
| Other ABS | Other ABS | 3446 | 3446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 10.320 - 13.750 | 10.320 - 13.750 | 10.320 - 13.750 | 11.703 |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Communication Services | Communication Services | 1483 | 1483 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | $ | $15.000 | 15.000 | 15.000 |  |
|  |  | 136 | 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp; Liquidity Discount | &nbsp;&nbsp;&nbsp;&nbsp; Liquidity Discount | &nbsp;&nbsp;&nbsp;&nbsp; Liquidity Discount | &nbsp;&nbsp;&nbsp;&nbsp; Liquidity Discount | &nbsp;&nbsp;&nbsp;&nbsp; Liquidity Discount |  | 12.000 | 12.000 | 12.000 |  |
| Health Care | Health Care | 8469 | 8469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | X | 16.360  | 16.360  | 16.360  |  |
| Industrials | Industrials | 4615 | 4615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | X/% | - | - | - |  |
|  |  | 1 | 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | $ | $0.594 - 4.250 | 0.594 - 4.250 | 0.594 - 4.250 | 4.095 |
|  |  | 348 | 348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | EU<br> R | 16.000 | 16.000 | 16.000 |  |
| Real Estate | Real Estate | 65 | 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |  | - | - | - |  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | Banking & Finance | 228 | 228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 11.900 | 11.900 | 11.900 |  |
|  |  | 5006 | 5006 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase price | $ | $- | - | - |  |
| Industrials | Industrials | 953 | 953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 19.155 | 19.155 | 19.155 |  |
| Total | Total | $49624 | 49624 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. |
| Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |

---

------

Notes to Financial Statements

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS**

**(a) Investment Valuation Policies** The NAV of the Fund's shares, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to the Fund or class, less any liabilities, as applicable, by the total number of shares outstanding.

On each day that the New York Stock Exchange ("NYSE") is open, the Fund's shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) ("NYSE Close"). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, the Fund may calculate its NAV as of the earlier closing time or calculate its NAV as of the NYSE Close for that day. The Fund generally does not calculate its NAV on days on which the NYSE is not open for business. If the NYSE is closed on a day it would normally be open for business, the Fund may calculate its NAV as of the NYSE Close for such day or such other time that the Fund may determine.

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC ("PIMCO") to be the primary exchange. If market value pricing is used, a foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close if the NYSE Close occurs before the end of trading on the foreign exchange.

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board of Trustees has designated PIMCO as the valuation designee ("Valuation Designee") for the Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee's policies and procedures govern the Valuation Designee's selection and application of methodologies for determining and calculating the fair value of Fund investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, "Pricing Sources").

Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Common stocks, exchange-traded funds ("ETFs"), exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Exchange-traded options, except equity options, futures and options on futures, are valued at the settlement price determined by the relevant exchange. Swap agreements and swaptions are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Sources. With respect to any portion of the Fund's assets that are invested in one or more open-end management investment companies (other thanETFs), the Fund's NAV will be calculated based on the NAVs of such investments. Open-end management investment companies may include affiliated funds.

If a foreign (non-U.S.) equity security's value has materially changed after the close of the security's primary exchange or principal market but before the NYSE Close, the security may be valued at fair value. Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument ("zero trigger") between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV.An alternative exchange rate may be obtained from a Pricing Source or an exchange rate may otherwise be determined if believed to be more reflective of the rates at which the Fund may transact.

Fair valuation may require subjective determinations about the value of a security. While the Fund's and Valuation Designee's policies and procedures are intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

**(b) Fair Value Hierarchy** U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2 or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

------

Notes to Financial Statements(Cont.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Valuation Designee that are used in determining the fair value of investments.

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Sources (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3).In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between fair value Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and, if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.

**(c) Valuation Techniques and the Fair Value Hierarchy**

**Level 1, Level 2 and Level 3 trading assets and trading liabilities, at fair value** The valuation methods (or "techniques") and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities, non-U.S. bonds and short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Sources that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE Close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or Pricing Sources. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Sources (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indexes, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Sources (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

------

Notes to Financial Statements(Cont.)

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indexes and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.

**2. FEDERAL INCOME TAX MATTERS**

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the "Code") and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of March 31, 2026, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

The Fund files U.S. federal, state and local tax returns as required. The Fund's tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

**3. INVESTMENTS IN AFFILIATES**

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund.A copy of each affiliate fund's shareholder report is available at the U.S Securities and Exchange Commission ("SEC") website at www.sec.gov, on the Fund's website at www.pimco.com, or upon request, as applicable.The table below shows the Fund's transactions in and earnings from investments in the affiliated funds for the period endedMarch 31, 2026 (amounts in thousands<sup>†</sup>):

**Investment in PIMCO Short-Term Floating NAV Portfolio III**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Market Value<br>06/30/2025** | **Purchases at<br>Cost** | **Proceeds from<br>Sales** | **Net<br>Realized<br>Gain (Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Market Value<br>03/31/2026** | **Dividend<br>Income**<sup>(1)</sup> | **Realized Net<br>Capital<br>Gain<br>Distributions**<sup>(1)</sup> |
| $7682 | $124863 | $(112100) | $3 | $(1) | $20447 | $462 | $0 |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than one thousand.

<sup>(1)</sup> The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** |  | (Unaudited) |
| **Counterparty Abbreviations:** | **Counterparty Abbreviations:** |  |  |  |  |
| **AZD** | Australia and New Zealand Banking Group | **FAR** | Wells Fargo Bank National Association | **NGF** | Nomura Global Financial Products, Inc. |
| **BOA** | Bank of America N.A. | **GLM** | Goldman Sachs Bank USA | **RCY** | Royal Bank of Canada |
| **BPS** | BNP Paribas S.A. | **GSC** | Goldman Sachs & Co. LLC | **RYL** | NatWest Markets Plc |
| **BRC** | Barclays Bank PLC | **GST** | Goldman Sachs International | **SBI** | Citigroup Global Markets Ltd. |
| **BSH** | Banco Santander S.A. - New York Branch | **IND** | Crédit Agricole Corporate and Investment Bank <br> S.A. | **SCX** | Standard Chartered Bank, London |
| **BYR** | The Bank of Nova Scotia - Toronto | **JML** | JP Morgan Securities Plc | **SOG** | Societe Generale Paris |
| **CBK** | Citibank N.A. | **JPM** | JP Morgan Chase Bank N.A. | **SSB** | State Street Bank and Trust Co. |
| **CIB** | Canadian Imperial Bank of Commerce | **MBC** | HSBC Bank Plc | **TDM** | TD Securities (USA) LLC |
| **DBL** | Deutsche Bank AG London | **MSB** | Morgan Stanley Bank, N.A | **UAG** | UBS AG Stamford |
| **DEU** | Deutsche Bank Securities, Inc. | **MYC** | Morgan Stanley Bank, N.A. |  |  |
| **Currency Abbreviations:** | **Currency Abbreviations:** |  |  |  |  |
| **BRL** | Brazilian Real | **EGP** | Egyptian Pound | **MXN** | Mexican Peso |
| **CAD** | Canadian Dollar | **EUR** | Euro | **NGN** | Nigerian Naira |
| **COP** | Colombian Peso | **GBP** | British Pound | **TRY** | Turkish New Lira |
| **DOP** | Dominican Peso | **JPY** | Japanese Yen | **USD (or $)** | United States Dollar |
| **Index/Spread Abbreviations:** | **Index/Spread Abbreviations:** |  |  |  |  |
| **BISTREFI** | Turkish Lira Overnight Reference Rate | **SOFR** | Secured Overnight Financing Rate | **TSFR1M** | Term SOFR 1-Month |
| **CAONREPO** | Canadian Overnight Repo Rate Average | **SOFRINDX** | Secured Overnight Financing Rate Index | **TSFR3M** | Term SOFR 3-Month |
| **EUR003M** | 3 Month EUR Swap Rate | **SONIO** | Sterling Overnight Interbank Average Rate | **TSFR6M** | Term SOFR 6-Month |
| **EUR006M** | 6 Month EUR Swap Rate |  |  |  |  |
| **Municipal Bond or Agency Abbreviations:** | **Municipal Bond or Agency Abbreviations:** |  |  |  |  |
| **ACA** | American Capital Access Holding Ltd. |  |  |  |  |
| **Other Abbreviations:** | **Other Abbreviations:** |  |  |  |  |
| **ABS** | Asset-Backed Security | **EBITDA** | Earnings before Interest, Taxes, Depreciation and Amoritization | **REMIC** | Real Estate Mortgage Investment Conduit |
| **ALT** | Alternate Loan Trust | **EURIBOR** | Euro Interbank Offered Rate | **TBA** | To-Be-Announced |
| **BRL-CDI** | Brazil Interbank Deposit Rate | **OIS** | Overnight Index Swap | **TBD** | To-Be-Determined |
| **CLO** | Collateralized Loan Obligation | **PIK** | Payment-in-Kind | **TBD%** | Interest rate to be determined when loan <br> settles or at the time of funding |
| **DAC** | Designated Activity Company |  |  |  |  |

---

## 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 Strategic Income Fund, Inc.

- **b. Investment Company Act file number:** 811-08216

- **c. CIK number of Registrant:** 0000916183

- **d. LEI of Registrant:** SXMV4TXSOGB1HGOZUF63

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 337-4626

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

- **a. Name of Series:** N/A

- **c. LEI of Series:** N/A

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

- **a. Date of fiscal year-end:** 2026-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1251482363.88

**Total Liabilities:** $1038551788.86

**Net Assets:** $212930575.02

**Delayed Delivery Securities:** $2001331.56

**Cash Not Reported:** $6638503.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4839.352700 | **1-Year:** 70604.578200 | **5-Year:** 42328.211200 | **10-Year:** 3941.024300 | **30-Year:** 897.081600

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

- **3-Month:** 9336.531400 | **1-Year:** 10202.900400 | **5-Year:** 15333.509800 | **10-Year:** 4689.947900 | **30-Year:** 19.038200

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 6.49%                | -2.53%               | -5.24%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $434743.21               | $-440091.32                                |
| Month 2  | $1000227.57              | $-11529.79                                 |
| Month 3  | $-494805.61              | $-9004371.87                               |

### 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                                                                        | RFR USD SOFR/1.75000 06/15/22-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2808373.40   | 1.32%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -600000 | PA      | $-504304.69   | -0.24%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                     | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                     | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |     4720017 | PA      | $4371915.30   | 2.05%             | 2027-05-13      | Floating      | 10.70%                | No            |                  3 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                       | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A       | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32378 | PA      | $32068.52     | 0.02%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80397 FG 04/26 FIXED 7.5                | CUSIP: 31335GNN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.44         | 0.00%             | 2026-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3882760 | PA      | $-3890999.65  | -1.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | DISCOVERY GLOBAL HOLDINGS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $715.27       | 0.00%             |  |  |  | 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        |      932693 | PA      | $1040321.59   | 0.49%             | 2050-12-15      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G04624 FG 02/33 FIXED 6                  | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         127 | PA      | $130.66       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND COAL CO PIK TERM LOAN                         | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        1998 | PA      | $869.17       | 0.00%             | 2029-03-15      | Fixed         | 7.92%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6            | CUSIP: 92922FM21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33517 | PA      | $33299.14     | 0.02%             | 2035-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A      | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $753116.85    | 0.35%             | 2036-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1840000 | PA      | $-1776041.67  | -0.83%            | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1778.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $723.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-38139.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                            | PASTOR IM FTH/FTA IMPAS 3 A REGS                           | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |      124978 | PA      | $127591.82    | 0.06%             | 2043-03-22      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 763753 FN 01/34 FIXED 6.5                        | CUSIP: 31404BQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1635 | PA      | $1691.44      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 8.5                         | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |      542526 | PA      | $660031.75    | 0.31%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 TERM LOAN                          | CUSIP: BA000SL02<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     2160000 | PA      | $2200569.34   | 1.03%             | 2030-09-25      | Floating      | 9.67%                 | No            |                  3 | On Loan: No      |
| GSMPS MTGE LOAN TRUST 1998-5                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 5 A 144A              | CUSIP: 36228FAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9381 | PA      | $9296.32      | 0.00%             | 2027-06-19      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5383150.23  | -2.53%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 739477 FN 10/33 FIXED 6.5                        | CUSIP: 31402VQ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6510 | PA      | $6735.62      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-7                                                          | FANNIE MAE FNR 2005 7 ZY                                   | CUSIP: 31394B5P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10906 | PA      | $11256.38     | 0.01%             | 2035-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                   | F+G ANNUITIES + LIFE INC COMPANY GUAR 10/34 6.25           | CUSIP: 30190AAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      400000 | PA      | $379872.31    | 0.18%             | 2034-10-04      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A       | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      939275 | PA      | $930308.44    | 0.44%             | 2037-04-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260506                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-168.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A      | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      987342 | PA      | $944565.19    | 0.44%             | 2035-02-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 677569 FN 02/33 FIXED 6                          | CUSIP: 31391UW68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         987 | PA      | $1005.94      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                     | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25        | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $36038.90     | 0.02%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |    -1719686 | PA      | $-1991673.65  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -822731 | PA      | $-827637.92   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 747686 FN 11/33 FIXED 6.5                        | CUSIP: 31403FUK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4056 | PA      | $4194.89      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -706517 | PA      | $-707822.18   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II POOL 004261 G2 10/38 FIXED 6.5                     | CUSIP: 36202EWW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         368 | PA      | $370.05       | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743878 FN 11/33 FIXED 6.5                        | CUSIP: 31403BM34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11982 | PA      | $12394.00     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-47                                                  | FANNIE MAE FNR 2020 47 SA                                  | CUSIP: 3136BATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      749909 | PA      | $88138.69     | 0.04%             | 2050-07-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1862.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2000-T6                                           | FANNIEMAE GRANTOR TRUST FNGT 2000 T6 A1                    | CUSIP: 31358SR37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24129 | PA      | $24239.87     | 0.01%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1554.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260506                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-285.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1             | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89401 | PA      | $89190.29     | 0.04%             | 2035-08-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260401                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1393.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 929119 FN 02/38 FIXED 6.5                        | CUSIP: 31412MG44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16105 | PA      | $17110.94     | 0.01%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-33                                                         | FANNIE MAE FNR 1997 33 PA                                  | CUSIP: 31359PQJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          51 | PA      | $51.02        | 0.00%             | 2027-06-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                               | FANNIEMAE WHOLE LOAN FNW 2004 W8 3A                        | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77176 | PA      | $78754.46     | 0.04%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC JR SUBORDINA 144A 12/99 VAR         | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | EP               | CORP              | US        |      110000 | NS      | $109602.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1375.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3358.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 398916 FN 09/27 FIXED 8                          | CUSIP: 31378HDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          63 | PA      | $62.75        | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1521352.50   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2457                                                           | FREDDIE MAC FHR 2457 PE                                    | CUSIP: 31392PKZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31392 | PA      | $32656.94     | 0.02%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1            | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |      207627 | NS      | $72101.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR              | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      150554 | PA      | $143922.46    | 0.07%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                     | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507       | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      420470 | PA      | $444099.95    | 0.21%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1            | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2717 | PA      | $2667.90      | 0.00%             | 2035-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 758557 FN 07/34 FIXED 6.5                        | CUSIP: 31403UWS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4616 | PA      | $4775.15      | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLGU-2021-1A                                                               | MAN GLG US CLO 2021 1 LTD GLGU 2021 1A SUB 144A            | CUSIP: 56166XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $88828.09     | 0.04%             | 2034-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CK2706 GN 02/52 FIXED 4                          | CUSIP: 3617XXAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      909714 | PA      | $858309.80    | 0.40%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-516.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 448600 GN 06/27 FIXED 7.5                        | CUSIP: 36208EKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2907 | PA      | $2942.93      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-92                                                         | FANNIE MAE FNR 2004 92 BW                                  | CUSIP: 31394BRK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105082 | PA      | $107079.23    | 0.05%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4976                                                    | FREDDIE MAC FHR 4976 DI                                    | CUSIP: 3137FTAM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      428644 | PA      | $79502.67     | 0.04%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 662051 FN 08/32 FIXED 6.5                        | CUSIP: 31391BQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1610 | PA      | $1629.34      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                    | FREDDIE MAC FHR 5060 IP                                    | CUSIP: 3137F87A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7131257 | PA      | $1295053.44   | 0.61%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                   | TITANIUM 2L BONDCO SARL SR SECURED 01/31 6.25              | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |     5074400 | PA      | $953101.60    | 0.45%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $165845.94    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                         | FANNIE MAE FNR 2008 67 ZW                                  | CUSIP: 31397MCX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39440 | PA      | $39882.95     | 0.02%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4442.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-5307.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -597241 | PA      | $-600489.87   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 496602 GN 04/29 FIXED 6                          | CUSIP: 36210MU33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2074 | PA      | $2118.09      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2152                                                           | FREDDIE MAC FHR 2152 BZ                                    | CUSIP: 3133TKXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15851 | PA      | $15981.68     | 0.01%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735861 FN 09/33 FIXED VAR                        | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13631 | PA      | $13911.51     | 0.01%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEVITA (NATIONAL MENTOR HOLDINGS INC)                                      | NATIONAL MENTOR HOLDINGS SR SECURED 144A 12/30 10.5        | CUSIP: 63688RAF4<br>LEI: 5493004QULJVJP3CNZ62 | Long             | DBT              | CORP              | US        |      300000 | PA      | $309884.10    | 0.15%             | 2030-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -349374 | PA      | $-352716.40   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-93                                                         | FANNIE MAE FNR 2002 93 A1                                  | CUSIP: 31392GRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124017 | PA      | $126054.77    | 0.06%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $839.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-49                                                         | FANNIE MAE FNR 2001 49 Z                                   | CUSIP: 313921AG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39065 | PA      | $40411.65     | 0.02%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 04/29 11.75       | CUSIP: 650929AC6<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |     1030555 | PA      | $832626.61    | 0.39%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 888743 FN 01/36 FIXED VAR                        | CUSIP: 31410GLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      156876 | PA      | $164509.65    | 0.08%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-43803.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1448.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                      | SYNIVERSE PFD PIK PFDJJZ917                                | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     1132846 | NS      | $953132.33    | 0.45%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80408 FG 06/26 FIXED 7.5                | CUSIP: 31335GNZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          41 | PA      | $41.33        | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3120136 | PA      | $-3127743.44  | -1.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $592537.06    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260421                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $333.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                                    | FREDDIE MAC FHR 4324 IO                                    | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      444344 | PA      | $31205.92     | 0.01%             | 2036-08-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY             | CUSIP: 38381YVM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19773317 | PA      | $2500500.10   | 1.17%             | 2049-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HOLDINGS CO COMMON STOCK HKD.1              | CUSIP: B1VKYN902<br>LEI: 549300MGHLPT1EFHGF84 | Long             | EC               | CORP              | KY        |      200965 | NS      | $8225.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 01/29 5.375              | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     2200000 | PA      | $2182400.00   | 1.02%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1464.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2034                                                           | FREDDIE MAC FHR 2034 Z                                     | CUSIP: 3133TCV70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7066 | PA      | $7157.10      | 0.00%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AVENIR ISSUER IV (IRELAND) DESIGNATED ACTIVITY COMPANY                     | AVENIR ISSUER IV IRLND SR SECURED REGS 10/27 6             | CUSIP: ACI2S8C83<br>LEI: 894500E9CKDEAOMG0B46 | Long             | DBT              | NUSS              | IE        |      560111 | PA      | $542694.94    | 0.25%             | 2027-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 6.5 JUMBOS                               | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      600000 | PA      | $621827.59    | 0.29%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 748116 FN 10/33 FIXED 6.5                        | CUSIP: 31403GDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         606 | PA      | $627.39       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1778.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260429                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $840.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743468 FN 10/33 FIXED 6.5                        | CUSIP: 31403A6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9643 | PA      | $9975.00      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 07/28 2.45                       | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      900000 | PA      | $838699.65    | 0.39%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.2* 9/16/23-27Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2819974.69   | 1.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1970800 | PA      | $-1974018.97  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1360.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO260626                                 | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1706060000 | PA      | $1176617.12   | 0.55%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-952.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/20/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $20830.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $33732.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A3                    | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50375 | PA      | $51781.04     | 0.02%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND MINING HOLDINGS L COMMON                      | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          69 | NS      | $41.25        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL4384 GN 02/52 FIXED 4                          | CUSIP: 3617YB2R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      862360 | PA      | $814856.94    | 0.38%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -747788 | PA      | $-749083.66   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 596712 FN 06/32 FIXED 6.5                        | CUSIP: 31387W3V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         733 | PA      | $752.41       | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                              | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1                   | CUSIP: 31393XFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      374397 | PA      | $386813.27    | 0.18%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-118                                                 | FANNIE MAE FNR 2007 118 AC                                 | CUSIP: 31396YCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1451337 | PA      | $1466193.66   | 0.69%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4066                                                    | FREDDIE MAC FHR 4066 SA                                    | CUSIP: 3137ARFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1339929 | PA      | $118239.64    | 0.06%             | 2038-05-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725851 FN 07/34 FIXED VAR                        | CUSIP: 31402DL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1357 | PA      | $1358.85      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 2173 REMIC                                                           | FREDDIE MAC FHR 2173 Z                                     | CUSIP: 3133TLM62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8525 | PA      | $8712.72      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                             | ADLER GROUP SA   VTG SHS COMMON STOCK                      | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |      906702 | NS      | $1.05         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $191.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 10/30 3                          | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      900000 | PA      | $789254.37    | 0.37%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 11/29 9.5                 | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      869127 | PA      | $878870.78    | 0.41%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D73735 FG 08/26 FIXED 7.5                | CUSIP: 3128FFEG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         258 | PA      | $258.53       | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                    | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    57400000 | PA      | $1286499.84   | 0.60%             | 2028-09-06      | Fixed         | 39.28%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL MA3306 FN 03/48 FIXED 4                          | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60559 | PA      | $57618.98     | 0.03%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.50000 06/15/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1254128.07  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 190328 FN 12/32 FIXED VAR                        | CUSIP: 31368HLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39619 | PA      | $40727.92     | 0.02%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 445792 GN 01/28 FIXED 7.5                        | CUSIP: 36207YF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3324 | PA      | $3361.54      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $12264.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 03/18/26-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-423375.12   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5        | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1555365.66   | 0.73%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 491193 FN 03/29 FIXED 6.5                        | CUSIP: 31382SUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         241 | PA      | $249.51       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR           | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3992657 | PA      | $3992657.00   | 1.88%             | 2030-01-31      | Fixed         | 11.68%                | No            |                  3 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W1                                               | FANNIEMAE WHOLE LOAN FNW 2002 W1 2A                        | CUSIP: 31392CMS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174694 | PA      | $174461.49    | 0.08%             | 2042-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                 | EQTYWM927 WESTMORELAND MINING                              | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         219 | NS      | $931.13       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| HF SINCLAIR CORPORATION                                                    | HF SINCLAIR CORP SR UNSECURED 01/35 6.25                   | CUSIP: 403949AS9<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1033132.30   | 0.49%             | 2035-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5903762.30   | 2.77%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $44859.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780580 GN 06/27 FIXED 7.5                        | CUSIP: 36225AUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $14.83        | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO II LTD                                                         | ELMWOOD CLO II LTD. ELMW2 2019 2A SUB 144A                 | CUSIP: 29001RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1212500 | PA      | $407134.14    | 0.19%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-89                                                         | FANNIE MAE FNR 2003 89 IO                                  | CUSIP: 31393TFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1932019 | PA      | $34467.79     | 0.02%             | 2042-12-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                               | FANNIEMAE WHOLE LOAN FNW 2003 W6 3A                        | CUSIP: 31393BU94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      262004 | PA      | $268141.72    | 0.13%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                   | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     2092803 | PA      | $20381810.41  | 9.57%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-51                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 51 1A                 | CUSIP: 31392W7B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31443 | PA      | $32159.77     | 0.02%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-88                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 88 SA              | CUSIP: 38380FRT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4090601 | PA      | $504840.74    | 0.24%             | 2047-06-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3469285 | PA      | $-3476737.35  | -1.63%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253398 FN 08/30 FIXED 8                          | CUSIP: 31371JNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1122 | PA      | $1158.10      | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ALTICE SA                                                                  | ALTICE HOLDINGS 1 12/99 0                                  | CUSIP: 000000000<br>LEI: 549300LA7PKCH18B3S39 | Long             | EC               | CORP              | LU        |        3582 | NS      | $49683.07     | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 745112 FN 10/35 FIXED VAR                        | CUSIP: 31403CYH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5287 | PA      | $5482.07      | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-42                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 42 A5                 | CUSIP: 31392MH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13875 | PA      | $14804.71     | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-2                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 2 3A1               | CUSIP: 225470YJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      731395 | PA      | $75692.03     | 0.04%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 7/12/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $159935.83    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260430                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3000.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -190082 | PA      | $-190424.87   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 05/26 0.00000                                | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        7000 | PA      | $6974.54      | 0.00%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $5266.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-414204.91   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 451321 GN 07/27 FIXED 7.5                        | CUSIP: 36208HLA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          31 | PA      | $30.84        | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260428                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $748.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $73.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-59                                                  | FANNIE MAE FNR 2019 59 HS                                  | CUSIP: 3136B6MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5150502 | PA      | $690052.42    | 0.32%             | 2049-10-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP TERM LOAN B                                   | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |     5033489 | PA      | $4307836.21   | 2.02%             | 2028-02-01      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1856.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-8508.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 685192 GN 10/38 FIXED 6                          | CUSIP: 36296AF90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30432 | PA      | $31477.83     | 0.01%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 06/27 10                           | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |     2472284 | PA      | $1199057.74   | 0.56%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 03/18/26-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3352.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G02472 FG 01/36 FIXED 7                  | CUSIP: 3128M4CH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20418 | PA      | $21470.92     | 0.01%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST C 144A      | CUSIP: 46652DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $53532.15     | 0.03%             | 2036-12-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-70                                                         | FANNIE MAE FNR 2002 70 QZ                                  | CUSIP: 31392FCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      769672 | PA      | $785590.39    | 0.37%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260429                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-711.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                        | ANTARES HOLDINGS SR UNSECURED 144A 10/29 6.35              | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1485577.40   | 0.70%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1485.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-816989.15   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3                                                        | LUXCO3 SHARES COMMON STOCK                                 | CUSIP: 929YHW907<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |       18808 | NS      | $347827.70    | 0.16%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS             | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9939870 | PA      | $1173071.61   | 0.55%             | 2049-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 12.015 03/17/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-328633.62   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                | SES S A COMMON STOCK                                       | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |       98888 | NS      | $1483320.00   | 0.70%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260521                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8959.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-5785.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260818                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1052.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/35 4.25                                 | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      197000 | PA      | $196292.03    | 0.09%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-126                                                 | FANNIE MAE FNR 2012 126 PI                                 | CUSIP: 3136A9ZM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      196796 | PA      | $15047.32     | 0.01%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 447529 GN 04/27 FIXED 7.5                        | CUSIP: 36208DEA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $28.36        | 0.00%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R2                              | MORGAN STANLEY REREMIC TRUST MSRR 2014 R2 2B 144A          | CUSIP: 61763LBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5454256 | PA      | $5004659.81   | 2.35%             | 2046-12-26      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 407308 FN 11/28 FIXED 6.5                        | CUSIP: 31378SNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         976 | PA      | $1008.78      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | 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      | $20710.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                          | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1             | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      199764 | PA      | $750.51       | 0.00%             | 2049-05-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1                | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101912 | PA      | $103856.17    | 0.05%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -811750 | PA      | $-813729.32   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 747151 FN 10/33 FIXED 6.5                        | CUSIP: 31403FBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24791 | PA      | $25644.13     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2191.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                       | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25               | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103675.92    | 0.05%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                       | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A         | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1938949 | PA      | $1235050.01   | 0.58%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                          | CI FINANCIAL CORP SR UNSECURED 144A 05/29 7.5              | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     1300000 | PA      | $1364908.35   | 0.64%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 NS                                    | CUSIP: 3137FPYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4679236 | PA      | $592074.99    | 0.28%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 54 2A                 | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30845 | PA      | $32442.62     | 0.02%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITY OF DETROIT                                                            | DETROIT MI DET 04/44 ADJUSTABLE VAR                        | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |     2982954 | PA      | $2299934.49   | 1.08%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                                 | FANNIE MAE FNR 2012 138 AI                                 | CUSIP: 3136AAEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113381 | PA      | $1273.14      | 0.00%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $968.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 54 3A                 | CUSIP: 31393LFM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      222370 | PA      | $228421.54    | 0.11%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254144 FN 11/31 FIXED 8                          | CUSIP: 31371KHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         828 | PA      | $844.09       | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | US RENAL CARE INC SR SECURED 144A 06/28 10.625             | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |     1453900 | PA      | $1214006.50   | 0.57%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4496                                                    | FREDDIE MAC FHR 4496 BI                                    | CUSIP: 3137BKS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4533492 | PA      | $234017.52    | 0.11%             | 2038-11-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254497 FN 09/32 FIXED 6.5                        | CUSIP: 31371KUW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2622 | PA      | $2683.94      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                    | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    10000000 | PA      | $224241.40    | 0.11%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-79                                                         | FANNIE MAE FNR 2001 79 BA                                  | CUSIP: 31392BMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121815 | PA      | $125046.76    | 0.06%             | 2045-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253973 FN 08/31 FIXED 6.5                        | CUSIP: 31371KCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         567 | PA      | $574.91       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1162.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 569341 GN 04/32 FIXED 6.5                        | CUSIP: 36200QP24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45093 | PA      | $46438.81     | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                      | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      370704 | PA      | $301964.64    | 0.14%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260821                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3997.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5            | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   114400000 | PA      | $1964267.90   | 0.92%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C42995 FG 12/26 FIXED 8                  | CUSIP: 31298BKG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1059 | PA      | $1059.62      | 0.00%             | 2026-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 12/29 4.625                      | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      250000 | PA      | $237484.35    | 0.11%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 702022 FN 05/33 FIXED 6.5                        | CUSIP: 31400Y4F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         862 | PA      | $891.66       | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3625186 | PA      | $-3647838.31  | -1.71%            |  |  |  | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SECURED REGS 05/29 7.875          | CUSIP: ACI30YBC6<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |      100000 | PA      | $107872.65    | 0.05%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                           | FREDDIE MAC FHR 2322 KZ                                    | CUSIP: 3133TUHY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      150857 | PA      | $156406.62    | 0.07%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1              | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       24507 | PA      | $24632.43     | 0.01%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 800224 FN 12/34 FIXED 6.5                        | CUSIP: 31405VAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5205 | PA      | $5419.01      | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253585 FN 01/31 FIXED 8                          | CUSIP: 31371JUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         740 | PA      | $767.95       | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   149000000 | PA      | $154018835.54 | 72.33%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $553.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-43                                                  | FANNIE MAE FNR 2012 43 SI                                  | CUSIP: 3136A5YM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      139828 | PA      | $4100.01      | 0.00%             | 2041-07-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BJ3524 FN 11/47 FIXED 4                          | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      110671 | PA      | $106052.91    | 0.05%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AL0152 FN 06/40 FIXED VAR                        | CUSIP: 3138EGE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      559332 | PA      | $587046.82    | 0.28%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 443108 FN 01/29 FIXED 6.5                        | CUSIP: 31380LGR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1652 | PA      | $1708.84      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | 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      | $-1173662.53  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C62910 FG 01/32 FIXED 7                  | CUSIP: 31287NGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          54 | PA      | $56.26        | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2040                                                           | FREDDIE MAC FHR 2040 PE                                    | CUSIP: 3133TD3W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1767 | PA      | $1789.68      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2311                                                           | FREDDIE MAC FHR 2311 Z                                     | CUSIP: 3133TSDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8404 | PA      | $8633.85      | 0.00%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5        | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      630375 | PA      | $570446.98    | 0.27%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                 | OCS GROUP HOLDINGS LTD 2026 GBP TERM LOAN B5               | CUSIP: BA000XG23<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |     1000000 | PA      | $1318967.86   | 0.62%             | 2031-11-28      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                  | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15             | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2343723.53   | 1.10%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5300000 | PA      | $5227713.41   | 2.46%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 995050 FN 09/37 FIXED VAR                        | CUSIP: 31416BL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126981 | PA      | $133266.09    | 0.06%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                              | FANNIEMAE WHOLE LOAN FNW 2003 W4 2A                        | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4474 | PA      | $4499.56      | 0.00%             | 2042-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-15568.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 683892 FN 01/33 FIXED 6                          | CUSIP: 31400CXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12193 | PA      | $12435.60     | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.7* 7/22/23-27Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1703490.80   | 0.80%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2664147 | PA      | $-2677920.64  | -1.26%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1                 | CUSIP: 46628BCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      538618 | PA      | $407866.22    | 0.19%             | 2036-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A           | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22476 | PA      | $22842.06     | 0.01%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1221801 | PA      | $-1228947.18  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A           | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44464 | PA      | $44762.78     | 0.02%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260414                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1342.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-50                                                         | FANNIE MAE FNR 2001 50 BA                                  | CUSIP: 31392AJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7750 | PA      | $7943.86      | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A            | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2189412.50   | 1.03%             | 2035-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D76893 FG 12/26 FIXED 7.5                | CUSIP: 3128FJUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         565 | PA      | $566.62       | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84                | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      200000 | PA      | $200566.60    | 0.09%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 712129 FN 06/33 FIXED 6.5                        | CUSIP: 31401MEA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $62.34        | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                   | FANNIE MAE FNR 2022 3 YS                                   | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99571860 | PA      | $308543.32    | 0.14%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 02/30 3.375                      | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      200000 | PA      | $180791.58    | 0.08%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                           | FREDDIE MAC FHR 2322 PZ                                    | CUSIP: 3133TUKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130365 | PA      | $135012.86    | 0.06%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 11/40 12.75                     | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  1032300000 | PA      | $273610.85    | 0.13%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 SN                                    | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      476542 | PA      | $56817.89     | 0.03%             | 2050-05-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 918263 FN 04/37 FIXED 6.5                        | CUSIP: 31411YFC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100377 | PA      | $101456.51    | 0.05%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $214264.79    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 752997 FN 10/33 FIXED 6.5                        | CUSIP: 31403MRS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5148 | PA      | $5324.41      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 01/35 11.75                     | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 14226700000 | PA      | $3527310.76   | 1.66%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 489119 FN 07/29 FIXED 6.5                        | CUSIP: 31382QK87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4912 | PA      | $5079.24      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 QS                                    | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5092925 | PA      | $643533.87    | 0.30%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO TORONTO DOMINIO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1137695 | PA      | $-1151252.53  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| VALE SA                                                                    | VALE SA SUBORDINATED 12/49 VAR                             | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |    50000000 | PA      | $4230334.86   | 1.99%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                  | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1312 | PA      | $1344.82      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    84900000 | PA      | $87766358.99  | 41.22%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $96500.27     | 0.05%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BE3702 FN 06/47 FIXED 4                          | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4799 | PA      | $4600.56      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5065                                                    | FREDDIE MAC FHR 5065 IG                                    | CUSIP: 3137F8RG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      412346 | PA      | $74157.06     | 0.03%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                  | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1380000 | PA      | $1271492.81   | 0.60%             | 2038-12-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C64701 FG 03/32 FIXED 7                  | CUSIP: 31287QGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1317 | PA      | $1384.90      | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6653.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO120626                                 | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   107700000 | PA      | $74821.17     | 0.04%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CE4252 GN 10/51 FIXED 4                          | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3323690 | PA      | $3127085.62   | 1.47%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 8/17/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $87345.81     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 323328 FN 09/28 FLOATING VAR                     | CUSIP: 31374TD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         862 | PA      | $868.52       | 0.00%             | 2028-09-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | NISSAN MOTOR CO LTD SNR JP SP MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |           1 | NC      | $-7038.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -270180 | PA      | $-270332.28   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL             | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      219586 | PA      | $183628.71    | 0.09%             | 2027-12-31      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W3                                               | FANNIEMAE WHOLE LOAN FNW 2001 W3 A                         | CUSIP: 3139216F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118303 | PA      | $118717.44    | 0.06%             | 2041-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 09/17/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-22.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 10                          | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |      316000 | PA      | $336532.10    | 0.16%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $456892.89    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260430                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1438.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2359                                                           | FREDDIE MAC FHR 2359 PZ                                    | CUSIP: 3133TV6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95559 | PA      | $98486.92     | 0.05%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/20/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-258577.33   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | UNITI GROUP INC COMMON STOCK USD.0001                      | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       32871 | NS      | $308329.98    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1028.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-488.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                    | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2800000 | PA      | $2880385.76   | 1.35%             | 2041-10-25      | Floating      | 11.16%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.8* 8/07/23-27Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $553885.23    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.70 7/12/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-532757.55   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-2                          | FREDDIE MAC   SCRT SCRT 2025 2 M 144A                      | CUSIP: 35563VCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $1521763.92   | 0.71%             | 2065-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G00921 FG 04/28 FIXED 7.5                | CUSIP: 31283HAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23415 | PA      | $23641.10     | 0.01%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4127.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 749783 FN 11/33 FIXED 6.5                        | CUSIP: 31403H6U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9771 | PA      | $10106.12     | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        5040 | NS      | $327.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 1998-1                                           | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A              | CUSIP: 36228FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231942 | PA      | $228117.90    | 0.11%             | 2027-09-19      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 8/24/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $25213.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AD0938 FN 04/39 FIXED VAR                        | CUSIP: 31418NBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      212414 | PA      | $222926.13    | 0.10%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $595872.35    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01227 FG 03/31 FIXED 7                  | CUSIP: 31283HLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3978 | PA      | $4183.92      | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL H00437 FG 12/36 FIXED 7                  | CUSIP: 3128MSPW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23846 | PA      | $23857.79     | 0.01%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -140000 | PA      | $-138090.54   | -0.06%            | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 533972 GN 05/32 FIXED 6.5                        | CUSIP: 36212HFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68009 | PA      | $70072.90     | 0.03%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-287967.04   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535283 FN 05/30 FIXED VAR                        | CUSIP: 31384VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2216 | PA      | $2293.23      | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1950000 | PA      | $-1570283.19  | -0.74%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SR SECURED REGS 09/30 6.5         | CUSIP: ACI30SMJ2<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |     1400000 | PA      | $1351649.24   | 0.63%             | 2030-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                    | FORWARD AIR CORPORATION TERM LOAN B                        | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1300000 | PA      | $1268800.00   | 0.60%             | 2030-12-19      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780798 GN 12/27 FIXED 7.5                        | CUSIP: 36225A3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         782 | PA      | $789.69       | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875          | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      616643 | PA      | $558061.92    | 0.26%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN     | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     3864073 | PA      | $3979995.32   | 1.87%             | 2028-09-15      | Fixed         | 11.64%                | No            |                  3 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                   | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                    | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      484271 | PA      | $422638.49    | 0.20%             | 2046-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $4890860.47   | 2.30%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                             | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A        | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2558000 | PA      | $2300620.18   | 1.08%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 18A3 144A        | CUSIP: 75524MCS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2113501 | PA      | $1020607.30   | 0.48%             | 2037-02-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627597 GN 12/37 FIXED 6                          | CUSIP: 36291GGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4551 | PA      | $4710.18      | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO 2 LLC                                                       | APLD COMPUTECO 2 LLC SR SECURED 144A 03/31 6.75            | CUSIP: 03772CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99333.91     | 0.05%             | 2031-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                              | FANNIEMAE WHOLE LOAN FNW 2003 W4 4A                        | CUSIP: 31393AQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      116413 | PA      | $118319.91    | 0.06%             | 2042-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                               | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                       | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10896 | PA      | $10860.62     | 0.01%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-354977.86   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1            | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182897 | PA      | $168879.16    | 0.08%             | 2034-10-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2290                                                           | FREDDIE MAC FHR 2290 ZD                                    | CUSIP: 3133TRE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13408 | PA      | $13643.32     | 0.01%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A             | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1230250 | PA      | $1259736.50   | 0.59%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1914.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 NEW MONEY TRANCHE A TL | CUSIP: 65131PAB5<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |      103831 | PA      | $78911.35     | 0.04%             | 2029-04-30      | Floating      | 9.42%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C00489 FG 12/26 FIXED 7.5                | CUSIP: 31292GRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1333 | PA      | $1335.21      | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3700000 | PA      | $3466488.19   | 1.63%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO SAS)                                    | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                   | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |     1000000 | PA      | $346755.07    | 0.16%             | 2030-11-30      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1102.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2204.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-60                                                         | FANNIE MAE FNR 2001 60 ZM                                  | CUSIP: 3139213J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3380 | PA      | $3517.28      | 0.00%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -728654 | PA      | $-731558.46   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL 1B0797 FH 04/33 FLOATING VAR             | CUSIP: 31336SNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         336 | PA      | $341.79       | 0.00%             | 2033-04-01      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535951 FN 03/31 FIXED VAR                        | CUSIP: 31384WL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         378 | PA      | $384.71       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1966338 | PA      | $-1970613.69  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A         | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1107954 | PA      | $1044363.21   | 0.49%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                 | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      784000 | PA      | $767936.06    | 0.36%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260506                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $48.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $33423.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1593.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO260629                                 | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  2311830000 | PA      | $1591926.25   | 0.75%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $8472.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL 785735 FH 12/26 FLOATING VAR             | CUSIP: 31348SLQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         338 | PA      | $337.80       | 0.00%             | 2026-12-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A3 144A         | CUSIP: 62951MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1068138 | PA      | $956994.06    | 0.45%             | 2034-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1291.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 07/26 0.00000                                | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      113000 | PA      | $111747.44    | 0.05%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-8518.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A           | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         441 | PA      | $407613.77    | 0.19%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 450811 FN 11/28 FIXED 6.5                        | CUSIP: 31380UYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         234 | PA      | $241.78       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                           | FREDDIE MAC FHR 2104 ZM                                    | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10144 | PA      | $10325.37     | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                         | FANNIE MAE FNR 2001 46 ZL                                  | CUSIP: 313920XQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24983 | PA      | $25574.07     | 0.01%             | 2031-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260430                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1301.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                      | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6               | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1416635 | PA      | $243682.50    | 0.11%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                                  | FANNIE MAE FNR 2014 47 BI                                  | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2730150 | PA      | $138277.19    | 0.06%             | 2054-08-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | STELLANTIS NV SNR SE ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |           1 | NC      | $31390.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16000000 | PA      | $16286122.88  | 7.65%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                            | MAREX GROUP PLC SR UNSECURED 05/28 5.829                   | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $202199.72    | 0.09%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 906353 FN 01/47 FIXED 7                          | CUSIP: 31411E5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24042 | PA      | $25258.48     | 0.01%             | 2047-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 12/28 8.5                          | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |     2231126 | PA      | $23705.71     | 0.01%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 742880 FN 10/33 FIXED 6.5                        | CUSIP: 31403AJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         325 | PA      | $335.60       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 802206 FN 10/34 FIXED 6.5                        | CUSIP: 31405XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1916 | PA      | $1982.33      | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                  | JETBLUE AIRWAYS/LOYALTY SR SECURED 144A 09/31 9.875        | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      417000 | PA      | $394656.45    | 0.19%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 786574 FN 07/34 FIXED 6.5                        | CUSIP: 31405D2F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17794 | PA      | $18405.60     | 0.01%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878     | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $280118.00    | 0.13%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725246 FN 01/34 FIXED VAR                        | CUSIP: 31402CWF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9366 | PA      | $9688.78      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                        | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 VAR        | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      665000 | PA      | $659745.41    | 0.31%             | 2027-09-13      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W3                                               | FANNIEMAE WHOLE LOAN FNW 2003 W3 1A3                       | CUSIP: 31392JYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         843 | PA      | $882.34       | 0.00%             | 2042-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                   | F+G ANNUITIES + LIFE INC COMPANY GUAR 06/29 6.5            | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      700000 | PA      | $703336.33    | 0.33%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3814174 | PA      | $-3851969.29  | -1.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260428                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1415.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2060000 | PA      | $1988394.48   | 0.93%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $764.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 783390 FN 09/34 FIXED 6.5                        | CUSIP: 31405AKB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         296 | PA      | $306.59       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/31 5.125                      | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1700000 | PA      | $1951465.85   | 0.92%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT TREASURY BILL BILLS 10/26 0.00000                    | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     2300000 | PA      | $36982.63     | 0.02%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-3                                               | VENDEE MORTGAGE TRUST VENDE 2000 3 2Z                      | CUSIP: 911760PM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      397547 | PA      | $414484.63    | 0.19%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1980                                                           | FREDDIE MAC FHR 1980 Z                                     | CUSIP: 3133TAG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7664 | PA      | $7693.67      | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO110626                                 | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   107400000 | PA      | $74651.89     | 0.04%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T2                                            | FANNIEMAE GRANTOR TRUST FNGT 2004 T2 1A3                   | CUSIP: 31393X7C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39667 | PA      | $40670.85     | 0.02%             | 2043-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                      | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      960482 | PA      | $1244597.62   | 0.58%             | 2045-09-13      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 755211 FN 10/33 FIXED 6.5                        | CUSIP: 31403RAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1066 | PA      | $1101.99      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 08/25/23-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $678847.69    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                          | NOVA SECURITISATION SARL SR SECURED 144A 02/31 5.75        | CUSIP: 66984FAA5<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |     1100000 | PA      | $1065603.66   | 0.50%             | 2031-02-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1458103 | PA      | $-1471438.57  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780518 GN 06/26 FIXED 7                          | CUSIP: 36225ASF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $9.75         | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2007-20H          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20H 1              | CUSIP: 83162CRE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1118 | PA      | $1127.14      | 0.00%             | 2027-08-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -4982795 | PA      | $-4991321.12  | -2.34%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3871                                                           | FREDDIE MAC FHR 3871 JB                                    | CUSIP: 3137AC7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      792298 | PA      | $815905.62    | 0.38%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254881 FN 07/33 FIXED 6.5                        | CUSIP: 31371LCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7251 | PA      | $7500.84      | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735394 FN 02/35 FIXED VAR                        | CUSIP: 31402Q7F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5509 | PA      | $5705.57      | 0.00%             | 2035-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                          | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A3 144A         | CUSIP: 57643QBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1018286 | PA      | $654645.63    | 0.31%             | 2035-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627708 GN 09/36 FIXED 6                          | CUSIP: 36291GKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8280 | PA      | $8614.36      | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                          | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                       | CUSIP: 00401BAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1966720.22   | 0.92%             | 2033-05-20      | Floating      | 12.18%                | No            |                  3 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2004-AR2                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2004 AR2 5A2          | CUSIP: 36185N4A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12916 | PA      | $11782.89     | 0.01%             | 2034-08-19      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AI1162 FN 04/41 FIXED 4.5                        | CUSIP: 3138AEJG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41035 | PA      | $40670.58     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                               | FANNIEMAE WHOLE LOAN FNW 2004 W2 5A                        | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16739 | PA      | $17269.10     | 0.01%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ANGOLA GOVT                                                                | REPUBLIC OF ANGOLA SR UNSECURED 03/33 9.375                | CUSIP: 035198AK6<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      300000 | PA      | $297159.03    | 0.14%             | 2033-03-31      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                             | COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A                | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80043 | PA      | $81975.95     | 0.04%             | 2034-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1277720 | PA      | $-1277877.23  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                        | VICI PROPERTIES INC REIT USD.01                            | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |       33427 | NS      | $913225.64    | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39321 | PA      | $39858.78     | 0.02%             | 2034-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 503901 FN 07/29 FIXED 6.5                        | CUSIP: 31383HX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         171 | PA      | $177.32       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042665<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1500000 | PA      | $-1445399.12  | -0.68%            | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1             | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91532 | PA      | $91756.71     | 0.04%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 353706 GN 06/27 FIXED 7.5                        | CUSIP: 36203M3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         623 | PA      | $627.14       | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-3271.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-527780.75   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1884471 | PA      | $-1889836.51  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W2                                              | FANNIEMAE WHOLE LOAN FNW 2003 W2 1A3                       | CUSIP: 31392JAD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         498 | PA      | $520.68       | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A3                   | CUSIP: 31392GVS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9940 | PA      | $10229.76     | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-513.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A           | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4500 | PA      | $1070513.49   | 0.50%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 448605 GN 07/27 FIXED 7.5                        | CUSIP: 36208EKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2341 | PA      | $2348.69      | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                      | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1581971 | PA      | $1971823.13   | 0.93%             | 2045-09-13      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-30642.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01324 FG 10/31 FIXED 7                  | CUSIP: 31283HPH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26378 | PA      | $27743.23     | 0.01%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 09/32 5                  | CUSIP: ACI309N04<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      800000 | PA      | $872907.33    | 0.41%             | 2032-09-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 526692 FN 12/29 FIXED 6.5                        | CUSIP: 31384LC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         666 | PA      | $688.65       | 0.00%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN PIK TERM LOAN A2    | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     6679080 | PA      | $2366185.06   | 1.11%             | 2028-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PANAMA LA SP BOA                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $8759.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SECURED 144A 04/29 11.75          | CUSIP: 650929AD4<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |     1099783 | PA      | $448437.04    | 0.21%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-40                                                  | FANNIE MAE FNR 2016 40 IO                                  | CUSIP: 3136ASD86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1824977 | PA      | $157383.79    | 0.07%             | 2036-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      275000 | PA      | $274252.24    | 0.13%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                          | NOVA SECURITISATION SARL SR SECURED 144A 02/36 6.5         | CUSIP: 66984FAB3<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |     1100000 | PA      | $1047755.72   | 0.49%             | 2036-02-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT COP SOLD USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1154.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $163.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/28 5.75                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2903392.62   | 1.36%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-385                                                        | FANNIEMAE STRIP FNS 385 7                                  | CUSIP: 3136FEW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      316925 | PA      | $43125.75     | 0.02%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-47                                                         | FANNIE MAE FNR 2003 47 PE                                  | CUSIP: 31393CRH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5925 | PA      | $6125.27      | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -972683 | PA      | $-978982.14   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR UNSECURED 12/31 0.00000            | CUSIP: ACI37QDK6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      432662 | PA      | $48414.88     | 0.02%             | 2031-12-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9680000 | PA      | $9535496.57   | 4.48%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                     | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      213520 | PA      | $222044.50    | 0.10%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                              | FANNIEMAE WHOLE LOAN FNW 2003 W18 1A7                      | CUSIP: 31393UNR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      537406 | PA      | $533017.39    | 0.25%             | 2043-08-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/45 4.875                                | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      197000 | PA      | $196399.76    | 0.09%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A2 144A                              | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      479566 | PA      | $446462.70    | 0.21%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260723                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-67.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C36310 FG 02/30 FIXED 7.5                | CUSIP: 31294DAK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.27         | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD MXN BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $365.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2325                                                           | FREDDIE MAC FHR 2325 ZN                                    | CUSIP: 3133TU5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65181 | PA      | $67699.76     | 0.03%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254463 FN 08/32 FIXED 6.5                        | CUSIP: 31371KTU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1379 | PA      | $1418.43      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 498356 GN 02/29 FIXED 7.5                        | CUSIP: 36210PTM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5045 | PA      | $5148.65      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | 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        |     1000000 | PA      | $857780.50    | 0.40%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 602008 FN 08/31 FIXED 8                          | CUSIP: 31388DYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         884 | PA      | $903.56       | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS B COMMON STOCK                     | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       52880 | NS      | $135880.45    | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260521                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4013.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                      | GLP CAPITAL LP / FIN II COMPANY GUAR 03/36 5.625           | CUSIP: 361841AX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      900000 | PA      | $876170.88    | 0.41%             | 2036-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-71                                                         | FANNIE MAE FNR 2003 71 TA                                  | CUSIP: 31393EJT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14737 | PA      | $15540.57     | 0.01%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1440.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25              | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      171000 | PA      | $82080.00     | 0.04%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW UNITY COMMON STOCKK                                    | CUSIP: 958WDX907<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       33629 | NS      | $315440.02    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1284182 | PA      | $-1296114.23  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AI9192 FN 08/41 FIXED 4.5                        | CUSIP: 3138APGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44093 | PA      | $43661.41     | 0.02%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                             | EPR PROPERTIES SR UNSECURED 08/29 3.75                     | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95844.58     | 0.05%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $1113.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT TREASURY BILL BILLS 08/26 0.00000                    | CUSIP: ACI3134R8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    35500000 | PA      | $598929.86    | 0.28%             | 2026-08-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-6499.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | YI4360503 NIGERIA OMO BILL                                 | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   922900000 | PA      | $580056.87    | 0.27%             | 2027-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 793441 FN 08/34 FIXED 6.5                        | CUSIP: 31405MP27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20184 | PA      | $21099.36     | 0.01%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 687742 FN 02/33 FIXED 6                          | CUSIP: 31400HBK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4258 | PA      | $4344.84      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 02/32 7.75                       | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     1300000 | PA      | $1313902.84   | 0.62%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  MAR26 XCME 20260616                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          -4 | NC      | $15058.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                           | FREDDIE MAC FHR 2417 CJ                                    | CUSIP: 31339D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      230179 | PA      | $237626.59    | 0.11%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4667.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                               | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                        | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53957 | PA      | $54893.13     | 0.03%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO TORONTO DOMINIO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -393300 | PA      | $-397830.60   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BM2006 FN 01/48 FIXED VAR                        | CUSIP: 3140J6GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59040 | PA      | $56576.51     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN  | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |     5052105 | PA      | $5708088.85   | 2.68%             | 2029-12-31      | Floating      | 7.50%                 | No            |                  3 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW WINDSTREAM PREFERRED STOCK                             | CUSIP: 990AAJEB9<br>LEI: 549300V3NU625PJUVA84 | Long             | EP               | CORP              | US        |         215 | NS      | $228304.36    | 0.11%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOFTBANK GROUP CORP SNR JP SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-2933.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL5027 GN 03/52 FIXED 4                          | CUSIP: 3617YCSQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      177863 | PA      | $167125.66    | 0.08%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                    | XBP GLOBAL HOLDINGS INC COMMON STOCK USD.0001              | CUSIP: 98400V200<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |         371 | NS      | $1632.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-839.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A     | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3193488 | PA      | $444118.37    | 0.21%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ANGOLA GOVT                                                                | REPUBLIC OF ANGOLA SR UNSECURED 144A 03/37 9.875           | CUSIP: 035198AL4<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      300000 | PA      | $297223.07    | 0.14%             | 2037-03-31      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -753781 | PA      | $-754263.64   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1900000 | PA      | $-1906302.02  | -0.90%            | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                              | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A               | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        6816 | PA      | $0.00         | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CIBC                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5916227 | PA      | $-5928683.77  | -2.78%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/26 5.25                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3558000 | PA      | $3529530.16   | 1.66%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC) | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8            | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $37212.65     | 0.02%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |           1 | NC      | $-458132.33   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                    | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2800000 | PA      | $2895796.68   | 1.36%             | 2041-11-25      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                      | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1129979 | PA      | $1346076.86   | 0.63%             | 2045-09-13      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260401                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $5360.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-33415.19    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01381 FG 04/32 FIXED 7                  | CUSIP: 31283HRA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1696 | PA      | $1784.03      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                         | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                    | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     1588042 | PA      | $1594330.78   | 0.75%             | 2031-05-31      | Floating      | 10.55%                | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT TREASURY BILL BILLS 11/26 0.00000                    | CUSIP: ACI355705<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    18500000 | PA      | $292461.49    | 0.14%             | 2026-11-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1277.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA NEW EQUITY                                          | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      121860 | NS      | $4615323.20   | 2.17%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                 | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      339867 | PA      | $0.00         | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-857.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $9964.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10280.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2588.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOUSSOIR RE LTD                                                            | WAFC VOUSSOIR WAFC VOUSSOIR                                | CUSIP: 957IQY903<br>LEI: 549300XW5WDY1508DB60 | Long             | EP               | CORP              | US        |     5005830 | NS      | $5005830.00   | 2.35%             |  |  |  | No            |                  3 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |      297750 | PA      | $262020.00    | 0.12%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                 | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      188450 | PA      | $165812.09    | 0.08%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-60                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 60 1A1                | CUSIP: 31394XVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      956402 | PA      | $956058.84    | 0.45%             | 2044-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A2 144A         | CUSIP: 62951MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      356046 | PA      | $313757.72    | 0.15%             | 2034-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                         | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5           | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |     2400000 | PA      | $2291125.73   | 1.08%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM B 144A         | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1572800.00   | 0.74%             | 2036-12-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735741 FN 07/35 FIXED VAR                        | CUSIP: 31402RLW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1475 | PA      | $1526.12      | 0.00%             | 2035-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 04/07/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1644172.91   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 7/20/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $83344.43     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 701432 GN 11/38 FIXED 6                          | CUSIP: 36296UHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98483 | PA      | $102547.54    | 0.05%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                        | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85     | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       45000 | PA      | $41141.93     | 0.02%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | NEW WINDSTREAM WARRANTS                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        6551 | NC      | $61382.87     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2603.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T4                                            | FANNIEMAE GRANTOR TRUST FNGT 2002 T4 A1                    | CUSIP: 31392B6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124618 | PA      | $128184.95    | 0.06%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $421750.08    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                              | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 VAR            | CUSIP: 345397G80<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1903418.50   | 0.89%             | 2028-03-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-36190.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000           | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |       29841 | PA      | $25223.44     | 0.01%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743965 FN 11/33 FIXED 6.5                        | CUSIP: 31403BQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         336 | PA      | $347.04       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20G                                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20G 1              | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1538 | PA      | $1544.94      | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| IVANTI SECURITY HOLDINGS LLC                                               | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                   | CUSIP: 46583VAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      163651 | PA      | $163856.05    | 0.08%             | 2029-06-01      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                         | FANNIE MAE FNR 1997 79 PL                                  | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         685 | PA      | $685.20       | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | 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        |      932693 | PA      | $1034931.33   | 0.49%             | 2050-12-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 02/36 5.625              | CUSIP: ACI309M21<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1000000 | PA      | $1059244.26   | 0.50%             | 2036-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2                   | CUSIP: 31392GVR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15856 | PA      | $16690.28     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -16000000 | PA      | $-16291122.88 | -7.65%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                          | MNSN HOLDINGS INC COMMON STOCK                             | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1054 | NS      | $65348.00     | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                              | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                     | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      535933 | PA      | $468344.04    | 0.22%             | 2035-03-25      | Floating      | 4.43%                 | 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        |         174 | PA      | $175.32       | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS A COMMON STOCK                     | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       68102 | NS      | $198857.84    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260911                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1442.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-18                                            | FANNIEMAE GRANTOR TRUST FNGT 2002 T18 A1                   | CUSIP: 31392GFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62825 | PA      | $64437.79     | 0.03%             | 2042-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2550248 | PA      | $-2572236.81  | -1.21%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 781808 FN 11/34 FIXED 6.5                        | CUSIP: 31404XR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17966 | PA      | $19068.77     | 0.01%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 831551 FN 06/36 FIXED 6.5                        | CUSIP: 31407HZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27963 | PA      | $29639.98     | 0.01%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C62740 FG 01/32 FIXED 7                  | CUSIP: 31287NBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23880 | PA      | $25112.50     | 0.01%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                              | BGC GROUP INC SR UNSECURED 06/29 6.6                       | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1032172.19   | 0.48%             | 2029-06-10      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       66000 | PA      | $65867.16     | 0.03%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |           1 | NC      | $-8593.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL            | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       27523 | PA      | $23050.59     | 0.01%             | 2027-06-30      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ORACLE CORPORATION SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-51123.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 02/33 13.25                     | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   893700000 | PA      | $239611.78    | 0.11%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $60311.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-281.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 08/29 11                        | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  1023700000 | PA      | $258106.21    | 0.12%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $9370.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-40                                                  | FANNIE MAE FNR 2020 40 IO                                  | CUSIP: 3136B9P50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      929639 | PA      | $171494.85    | 0.08%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2703108 | PA      | $-2728597.38  | -1.28%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A     | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4000000 | PA      | $592440.00    | 0.28%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A     | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3193437 | PA      | $488174.36    | 0.23%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 713298 FN 06/33 FIXED 6.5                        | CUSIP: 31401NNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         521 | PA      | $538.41       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                         | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                  | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |      291816 | NS      | $691603.92    | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                 | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      630930 | PA      | $0.01         | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 768504 FN 01/34 FIXED 6.5                        | CUSIP: 31404GX97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2688 | PA      | $2780.02      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | 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      | $6378.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -580320 | PA      | $-587253.21   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3 / ALTICE HOLDINGS 1                                    | ALTICE FRAN LUX 3/HOLD 1 SR UNSECURED 144A 01/33 10        | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      856784 | PA      | $779663.07    | 0.37%             | 2033-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 453008 GN 01/28 FIXED 7.5                        | CUSIP: 36208KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3404 | PA      | $3422.67      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AA8656 FN 10/36 FIXED 6                          | CUSIP: 31416STN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33439 | PA      | $34099.55     | 0.02%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                       | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0   | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    25300000 | PA      | $2350729.26   | 1.10%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV5             | CUSIP: 126673JX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2296723 | PA      | $2026367.99   | 0.95%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-6643.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 255001 FN 11/33 FIXED 6.5                        | CUSIP: 31371LGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17043 | PA      | $17818.94     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 888215 FN 12/36 FIXED VAR                        | CUSIP: 31410FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72327 | PA      | $76211.22     | 0.04%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 543927 GN 02/31 FIXED 8.5                        | CUSIP: 36212UHC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3944 | PA      | $4083.39      | 0.00%             | 2031-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-55122.58    | -0.03%            |  |  |  | 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        |      196302 | PA      | $87814.34     | 0.04%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| SW (FINANCE) I PLC                                                         | SW (FINANCE) I PLC SR SECURED REGS 03/27 1.625             | CUSIP: ACI1WPQH7<br>LEI: 549300BHN1HB5BNG2R96 | Long             | DBT              | CORP              | GB        |      800000 | PA      | $1016403.04   | 0.48%             | 2027-03-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2484                                                           | FREDDIE MAC FHR 2484 LZ                                    | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148354 | PA      | $154649.07    | 0.07%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-5250.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-97                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 97 SB              | CUSIP: 38381YHY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8546947 | PA      | $1034204.56   | 0.49%             | 2049-08-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G06623 FG 04/39 FIXED 5.5                | CUSIP: 3128M8VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      640827 | PA      | $659735.97    | 0.31%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $208.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                            | CENTRAL PARENT INC 2024 TERM LOAN B                        | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1088724 | PA      | $779896.34    | 0.37%             | 2029-07-06      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735487 FN 04/35 FIXED VAR                        | CUSIP: 31402RCY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4045 | PA      | $4187.67      | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                       | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581           | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4321507.89   | 2.03%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                     | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1800000 | PA      | $1652242.77   | 0.78%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-582.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL A54878 FG 12/30 FIXED 7.5                | CUSIP: 3128KHM37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47366 | PA      | $48418.86     | 0.02%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                            | GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1                    | CUSIP: 36242DPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26604 | PA      | $25405.84     | 0.01%             | 2034-12-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                           | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A             | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1077930 | PA      | $1130979.47   | 0.53%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6          | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2638000 | PA      | $2484050.57   | 1.17%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1528491 | PA      | $-1532258.57  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260429                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-859.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7883 08/30/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $379337.61    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 503022 FN 06/29 FIXED 6.5                        | CUSIP: 31383GYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         978 | PA      | $1011.52      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL3                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4            | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4210 | PA      | $1859.43      | 0.00%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                             | COUNTRYWIDE HOME LOANS CWHL 2004 12 16A1                   | CUSIP: 12669FP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       92904 | PA      | $91512.73     | 0.04%             | 2034-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071          | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5336000 | PA      | $161852.62    | 0.08%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1325226.92   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C01086 FG 11/30 FIXED 7.5                | CUSIP: 31292HF33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $62.38        | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T16                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T16 A1                   | CUSIP: 31392FDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      622681 | PA      | $648790.55    | 0.30%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PANAMA LA SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $9343.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                               | FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2                       | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12801 | PA      | $13198.93     | 0.01%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2138                                                           | FREDDIE MAC FHR 2138 KC                                    | CUSIP: 3133TJTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124155 | PA      | $125944.67    | 0.06%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                        | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                  | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |      323500 | NS      | $2822707.30   | 1.33%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 632024 GN 12/36 FIXED 6                          | CUSIP: 36291MD59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3180 | PA      | $3291.03      | 0.00%             | 2036-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P50545 FG 03/37 FIXED 7.5                | CUSIP: 31288LTA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24952 | PA      | $25188.45     | 0.01%             | 2037-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/28 8           | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |      152793 | PA      | $91835.10     | 0.04%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | OIS CAD CAONREPO/3.5000 06/20/14-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $2818.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 699270 GN 09/38 FIXED 6                          | CUSIP: 36296R2B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56385 | PA      | $58630.87     | 0.03%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-581287.42   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 730754 FN 08/33 FIXED 6.5                        | CUSIP: 31402JZT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          69 | PA      | $71.00        | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                    | GSG BIDCO LTD SR SECURED 144A 06/36 5.375                  | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     1870000 | PA      | $2146590.82   | 1.01%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $781.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $7.72         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1998-3                                               | VENDEE MORTGAGE TRUST VENDE 1998 3 E                       | CUSIP: 911760LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12539 | PA      | $12578.28     | 0.01%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-50789.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-76                                                         | FANNIE MAE FNR 2010 76 ZC                                  | CUSIP: 31398TFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      308099 | PA      | $304937.75    | 0.14%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 763726 FN 01/34 FIXED 6.5                        | CUSIP: 31404BPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         665 | PA      | $687.82       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1130839 | PA      | $-1134436.42  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260414                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $607.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627727 GN 07/37 FIXED 6                          | CUSIP: 36291GLG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73609 | PA      | $76008.72     | 0.04%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                         | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15           | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       61133 | PA      | $59921.42     | 0.03%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 681706 GN 12/38 FIXED 6                          | CUSIP: 36295VKT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1710 | PA      | $1790.11      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 557681 GN 08/31 FIXED 6                          | CUSIP: 36213LRA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1027 | PA      | $1053.00      | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                   | FLORA FOOD MANAGEMENT BV SR SECURED 144A 10/30 7.5         | CUSIP: ACI386PJ9<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $229116.47    | 0.11%             | 2030-10-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 503001 GN 02/29 FIXED 7.5                        | CUSIP: 36210UX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2621 | PA      | $2658.01      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN            | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     3959437 | PA      | $3739608.87   | 1.76%             | 2028-06-28      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A9                        | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       27194 | PA      | $24494.63     | 0.01%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1356.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.6* 8/24/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-78094.56    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -614707 | PA      | $-616063.11   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CK0445 GN 02/52 FIXED 4                          | CUSIP: 3617XUP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      208484 | PA      | $196522.22    | 0.09%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                              | STEINHOFF CVR                                              | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |    17707907 | NS      | $20.47        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/17/25-20Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $92621.22     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -234300 | PA      | $-234711.98   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A          | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $958625.00    | 0.45%             | 2038-11-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253184 FN 04/30 FIXED 8                          | CUSIP: 31371JFZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         707 | PA      | $730.18       | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -692669 | PA      | $-700817.23   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C37903 FG 04/30 FIXED 7.5                | CUSIP: 31294EX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          18 | PA      | $17.96        | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 2.50000 09/16/26-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-63470.42    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P00029 FG 03/33 FIXED 6                  | CUSIP: 31283NA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21313 | PA      | $21600.20     | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL CA0709 FN 09/47 FIXED 4                          | CUSIP: 3140Q7YF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4011158 | PA      | $3843771.09   | 1.81%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |     1227622 | PA      | $833156.69    | 0.39%             | 2029-06-01      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                    | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B             | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |     1961881 | PA      | $1966785.70   | 0.92%             | 2030-12-18      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                 | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1             | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      513329 | PA      | $504330.13    | 0.24%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000           | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |        5688 | PA      | $5591.76      | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL2                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4            | CUSIP: 7609856D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106340 | PA      | $95512.53     | 0.04%             | 2031-10-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81               | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     2100000 | PA      | $1908768.10   | 0.90%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP 2ND LIEN TERM LOAN B1                         | CUSIP: 71360HAG2<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |      106229 | PA      | $77016.03     | 0.04%             | 2029-02-01      | Floating      | 11.52%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 456586 GN 08/27 FIXED 7.5                        | CUSIP: 36208PF37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1990 | PA      | $1995.49      | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 422120 GN 05/27 FIXED 7.5                        | CUSIP: 36206U4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $82.79        | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-CW1                                            | GSAA HOME EQUITY TRUST GSAA 2004 CW1 2A1                   | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      270752 | PA      | $267436.80    | 0.13%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 09/28 3.75               | CUSIP: ACI309MY1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1000000 | PA      | $1133542.31   | 0.53%             | 2028-09-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MORGAN STANLEY SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $3018.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735504 FN 04/35 FIXED VAR                        | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111824 | PA      | $115261.36    | 0.05%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625     | CUSIP: L4191BAB9<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     1710000 | PA      | $1410750.00   | 0.66%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1213.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 04/30 6.875                      | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     2860000 | PA      | $2864830.54   | 1.35%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 494976 FN 06/29 FIXED 6.5                        | CUSIP: 31382W2H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         166 | PA      | $171.19       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 750674 FN 10/33 FIXED 6.5                        | CUSIP: 31403J6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38148 | PA      | $39457.73     | 0.02%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | US 10YR NOTE (CBT)JUN26 XCBT 20260618                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          18 | NC      | $-41929.82    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                              | AMSURG EQUITY EQTYAS910                                    | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      192582 | NS      | $8468779.39   | 3.98%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.25000 06/15/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6031938.07   | 2.83%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80453 FG 12/26 FIXED 7.5                | CUSIP: 31335GQE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         159 | PA      | $159.82       | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-728.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                    | BCAP LLC TRUST BCAP 2011 R11 8A7 144A                      | CUSIP: 05533FCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       77827 | PA      | $64845.42     | 0.03%             | 2036-07-26      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -207633 | PA      | $-209445.63   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 807392 FN 10/31 FIXED 8                          | CUSIP: 31406D7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2850 | PA      | $2902.58      | 0.00%             | 2031-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR               | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      107153 | PA      | $73774.54     | 0.03%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL MA3183 FN 11/47 FIXED 4                          | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33476 | PA      | $32078.61     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | YI4360438 NIGERIA OMO BILL                                 | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   960300000 | PA      | $605403.64    | 0.28%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-43606.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 704395 FN 05/33 FIXED 6.5                        | CUSIP: 31401CRQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8476 | PA      | $8766.04      | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 255071 FN 01/34 FIXED 6.5                        | CUSIP: 31371LJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2141 | PA      | $2215.09      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 DELAYED DRAW TERM LOAN             | CUSIP: BA000SL28<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |      282500 | PA      | $287805.94    | 0.14%             | 2030-09-25      | Floating      | 9.68%                 | No            |                  3 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2004-3                                          | MASTR ALTERNATIVE LOANS TRUST MALT 2004 3 8A1              | CUSIP: 576434PB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8048 | PA      | $8331.69      | 0.00%             | 2034-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5529285 | PA      | $-5559673.20  | -2.61%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2947                                                           | FREDDIE MAC FHR 2947 OZ                                    | CUSIP: 31395R6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18300 | PA      | $18447.00     | 0.01%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 257154 FN 03/28 FIXED 4.5                        | CUSIP: 31371NTK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1239 | PA      | $1236.62      | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -692139 | PA      | $-695959.17   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5717368 | PA      | $-5729406.39  | -2.69%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535597 FN 10/30 FIXED VAR                        | CUSIP: 31384V7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          36 | PA      | $36.24        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 750859 FN 10/32 FIXED 6.5                        | CUSIP: 31403KE82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         352 | PA      | $364.16       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1162.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2812509 | PA      | $-2816352.47  | -1.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $765.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2230                                                     | FREDDIE MAC FHR 2230 Z                                     | CUSIP: 3133TNSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5298 | PA      | $5467.58      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-41                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 41 3A                 | CUSIP: 31392MEN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49945 | PA      | $45896.78     | 0.02%             | 2032-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A4                    | CUSIP: 31359SY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      469084 | PA      | $482977.69    | 0.23%             | 2041-06-19      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $54880.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-38                                                         | FANNIE MAE FNR 2020 38 QI                                  | CUSIP: 3136BADX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      471685 | PA      | $87666.56     | 0.04%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4043.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 748671 FN 10/33 FIXED 6.5                        | CUSIP: 31403GW81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10551 | PA      | $10912.30     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 09/21/22-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1920723.15   | 0.90%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-22                                                         | FANNIE MAE FNR 2005 22 DB                                  | CUSIP: 31394DBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      387354 | PA      | $398360.48    | 0.19%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1675.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 771196 FN 04/34 FIXED 6.5                        | CUSIP: 31404KXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3469 | PA      | $3588.73      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1657.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL1                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A6            | CUSIP: 760985W72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      595317 | PA      | $219448.69    | 0.10%             | 2031-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                   | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   147000000 | PA      | $2647967.91   | 1.24%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1878.23     | -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      | $-9348.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 05/26 0.00000                                | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      300000 | PA      | $298975.68    | 0.14%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-900.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 583498 FN 05/31 FIXED 8                          | CUSIP: 31387GGF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10544 | PA      | $10771.28     | 0.01%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2415                                                           | FREDDIE MAC FHR 2415 ZA                                    | CUSIP: 31339DKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8019 | PA      | $8327.62      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                         | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A      | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1978322 | PA      | $1078426.67   | 0.51%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1295596 | PA      | $-1305924.78  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                            | NGD HOLDINGS BV SR SECURED 12/26 6.75                      | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |      957000 | PA      | $892402.50    | 0.42%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $44668.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-29915.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 491153 GN 01/29 FIXED 7.5                        | CUSIP: 36210FTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         204 | PA      | $208.29       | 0.00%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA C 144A              | CUSIP: 647622AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $986748.20    | 0.46%             | 2032-04-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-3                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 1A3              | CUSIP: 57645DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      180894 | PA      | $90167.69     | 0.04%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                    | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR        | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |     1300000 | NS      | $1296334.00   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 430603 GN 02/28 FIXED 7.5                        | CUSIP: 36207FKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         451 | PA      | $453.05       | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-339.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.00 7/15/23-27Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1660744.71   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725034 FN 12/33 FIXED VAR                        | CUSIP: 31402CPT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3255 | PA      | $3367.68      | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                    | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      112052 | PA      | $114975.57    | 0.05%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/28 2.375     | CUSIP: ACI2B1W92<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $331151.27    | 0.16%             | 2028-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2                | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21885 | PA      | $22763.02     | 0.01%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR               | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     4388387 | PA      | $3317620.57   | 1.56%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                    | FREDDIE MAC FHR 5051 SX                                    | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3997019 | PA      | $154500.36    | 0.07%             | 2048-11-15      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $15274.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P51301 FG 07/37 FIXED 6.5                | CUSIP: 3128C6NS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50098 | PA      | $50525.03     | 0.02%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-5                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 5 14A3 144A        | CUSIP: 74928WBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5180415 | PA      | $1633682.76   | 0.77%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                      | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |      397577 | PA      | $427309.31    | 0.20%             | 2046-06-21      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                    | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2775303 | PA      | $4203254.81   | 1.97%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -925546 | PA      | $-931066.22   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1996-2                                               | VENDEE MORTGAGE TRUST VENDE 1996 2 1Z                      | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1687 | PA      | $1684.78      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | OIS CAD CAONREPO/3.5000 06/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $45556.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-1                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1             | CUSIP: 22541SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29721 | PA      | $29824.18     | 0.01%             | 2034-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 729682 FN 08/33 FIXED 6.5                        | CUSIP: 31402HUF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18016 | PA      | $18637.69     | 0.01%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.6* 04/08/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-919116.73   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                               | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                 | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |     1867040 | PA      | $1813609.61   | 0.85%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35000000 | PA      | $35636831.30  | 16.74%            | 2056-05-13      | Fixed         | 6.00%                 | 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        |      600000 | PA      | $210000.00    | 0.10%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PANAMA LA SP CBK                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $846.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1292.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 257030 FN 11/47 FIXED 6.5                        | CUSIP: 31371NPP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2716 | PA      | $2796.95      | 0.00%             | 2047-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 SE                                    | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12377961 | PA      | $1553515.77   | 0.73%             | 2048-04-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | YI4360529 NIGERIA OMO BILL                                 | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |   926000000 | PA      | $580242.96    | 0.27%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                                   | FANNIE MAE FNR 2019 1 HS                                   | CUSIP: 3136B3ZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46605 | PA      | $4322.36      | 0.00%             | 2049-02-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A               | CUSIP: 12669GP21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16227 | PA      | $16697.08     | 0.01%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -720323 | PA      | $-725554.34   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5               | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1188417.36   | 0.56%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260401                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1262.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EGP BOUGHT USD 20260618                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $503.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/3.00 9/19/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-841262.16   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-70                                                  | FANNIE MAE FNR 2019 70 IO                                  | CUSIP: 3136B7KN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67294 | PA      | $13526.62     | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                    | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A            | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $29341.84     | 0.01%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20261118                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $-1055.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL3208 GN 03/52 FIXED 4                          | CUSIP: 3617YAR59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      751891 | PA      | $710682.34    | 0.33%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D72907 FG 07/26 FIXED 7.5                | CUSIP: 3128FEGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          21 | PA      | $21.35        | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                  | HA SUSTAINABLE INF CAP COMPANY GUAR 03/36 6                | CUSIP: 41068XAK6<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97092.73     | 0.05%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROOKS AUTOMATION (ALTAR BIDCO INC)                                        | ALTAR BIDCO, INC. 2ND LIEN TL                              | CUSIP: 02090CAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      700000 | PA      | $665000.00    | 0.31%             | 2030-02-01      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1845.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 540909 FN 05/31 FIXED 6.5                        | CUSIP: 31385C3S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1254 | PA      | $1262.60      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | 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        |      724056 | PA      | $674453.51    | 0.32%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -200000 | PA      | $-184026.28   | -0.09%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 684200 FN 01/33 FIXED 6                          | CUSIP: 31400DDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         744 | PA      | $760.61       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2              | CUSIP: 03072SDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39319 | PA      | $28014.38     | 0.01%             | 2032-11-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 446811 GN 06/27 FIXED 7.5                        | CUSIP: 36208CKY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         761 | PA      | $764.91       | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20260818                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $-1556.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260521                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2353.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $337.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 791804 FN 08/34 FIXED 6.5                        | CUSIP: 31405KU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5366 | PA      | $5549.34      | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260421                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1293.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -569235 | PA      | $-570287.45   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260618                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-347.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 08/17/23-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $222925.91    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C38907 FG 06/29 FIXED 6.5                | CUSIP: 31294F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         924 | PA      | $956.20       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 616975 GN 02/36 FIXED 6                          | CUSIP: 36290TMY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4268 | PA      | $4485.77      | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260421                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $141.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-25690.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 498247 FN 06/29 FIXED 6.5                        | CUSIP: 31383BP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         429 | PA      | $443.87       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A           | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      529403 | PA      | $471444.62    | 0.22%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80401 FG 05/26 FIXED 7.5                | CUSIP: 31335GNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.00         | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F070658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7700000 | PA      | $8101437.50   | 3.80%             | 2054-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1135.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC   | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     5030030 | PA      | $745843.97    | 0.35%             | 2028-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                            | MAREX GROUP PLC SR UNSECURED 11/29 6.404                   | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1030315.85   | 0.48%             | 2029-11-04      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 421282 GN 04/27 FIXED 7.5                        | CUSIP: 36206T6T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12178 | PA      | $12237.11     | 0.01%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE   | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      740977 | PA      | $231243.65    | 0.11%             | 2028-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL1779 GN 03/52 FIXED 4                          | CUSIP: 3617Y86Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36320 | PA      | $34318.88     | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR COMMON STOCK UNIT                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        1202 | NS      | $567945.00    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 596686 FN 11/31 FIXED 6.5                        | CUSIP: 31387W2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         833 | PA      | $847.41       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EQUINIX INC SNR S* SP GST                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $27992.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A         | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1016973.00   | 0.48%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/28 8           | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |      178259 | PA      | $107140.95    | 0.05%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B               | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |     2000000 | PA      | $2030678.58   | 0.95%             | 2032-04-26      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -663850 | PA      | $-665008.97   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Strategic Income Fund, Inc.

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer