# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007225
**Filing Date:** 2026-5
**Character Count:** 479181
**Document Hash:** 564de5565016babd292a47aac484b2a5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007225.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007225

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043397

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

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

## Series and Classes Contracts Data

### PIMCO RAE PLUS Small Fund (Series ID: S000032697)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000100907 | Institutional Class | PCFIX           |
| C000100908 | I-2                 | PCCPX           |
| C000100911 | Class A             | PCFAX           |
| C000100912 | Class C             | PCFEX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** PIMCO Funds

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO RAE PLUS Small Fund

- **b. EDGAR series identifier (if any):** S000032697

- **c. LEI of Series:** UT17HYFPFUE66KKMZM55

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $741909801.87

**Total Liabilities:** $538524807.73

**Net Assets:** $203384994.14

**Cash Not Reported:** $2068235.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -22192.209800 | **1-Year:** 38212.651400 | **5-Year:** 50144.893600 | **10-Year:** 2142.792400 | **30-Year:** -7031.102800

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

- **3-Month:** 888.086300 | **1-Year:** 2559.080500 | **5-Year:** 12467.239700 | **10-Year:** 2349.356900 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000100911 | 3.23%                | 2.39%                | -5.27%               |
| Class ID C000100912 | 3.13%                | 2.38%                | -5.38%               |
| Class ID C000100908 | 3.26%                | 2.40%                | -5.26%               |
| Class ID C000100907 | 3.30%                | 2.40%                | -5.23%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $443856.22               | $408889.17                                 |
| Month 2  | $775820.22               | $-120547.01                                |
| Month 3  | $-233086.01              | $-3666693.35                               |

**Designated Index Information**

- **Index Name:** Russell 2000 Value Index

- **Index Identifier:** RUJ

### 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/3.84200 03/04/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2879.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1070.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1514.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $319.58       | 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      | $-5237.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $373.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1271.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $1620.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA      | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126002 | PA      | $119782.78    | 0.06%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6091.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-72591.51    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $83206.08     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5329.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $2193.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S3                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S3 1A1      | CUSIP: 16162XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112970 | PA      | $45725.15     | 0.02%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 05/07/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1828.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUSA3 PIMCO SWAPTION 3.674 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1634.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                   | AVON FINANCE AVON 4A A 144A                           | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     357106 | PA      | $473045.51    | 0.23%             | 2049-12-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $3154.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-630.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC62A2 PIMCO SWAPTION 3.7825 PUT USD 202606        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2900000 | NC      | $-27268.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $10412.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-166579.12   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCN3 PIMCO CDSOPT PUT USD 102.23437500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-2261.91     | -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      | $-1689.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBSEA2 PIMCO SWAPTION 4.049 PUT USD 2026040        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2200000 | NC      | $-706.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.65000 01/08/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2507.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                       | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A B          | CUSIP: 30165BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     788930 | PA      | $789916.13    | 0.39%             | 2029-04-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $807.53       | 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      | $-7513.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2179.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261207                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $29585.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 09/27 0.375                           | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $95007.81     | 0.05%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $139415.75    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS CAD CAONREPO/3.0000 09/16/26-10Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-23172.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-855.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4161.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                           | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1        | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89716 | PA      | $89298.45     | 0.04%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-4934.22     | -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      | $2270.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $50.63        | 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      | $-8915.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $2593.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-101.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-443.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5870000 | PA      | $325126.10    | 0.16%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -27 | NC      | $-16045.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-14652.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                             | ARES EURO CLO ARESE 14A AR 144A                       | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     204231 | PA      | $236311.59    | 0.12%             | 2034-10-21      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $529.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1513.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/36 4.125                           | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1100000 | PA      | $1082898.43   | 0.53%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2400000 | NC      | $15023.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SJW6 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -490000 | NC      | $-966.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                   | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1               | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     974552 | PA      | $339364.92    | 0.17%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1       | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5260 | PA      | $5211.37      | 0.00%             | 2033-08-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $44.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-8804.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261221                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $7799.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2       | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6281 | PA      | $6216.39      | 0.00%             | 2034-02-25      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAROA4 PIMCO SWAPTION 3.646 PUT USD 2026041        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-13344.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1030.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1       | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18695 | PA      | $17182.72     | 0.01%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $102.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-67447.05    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $938.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $176.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-354.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 06/45 5             | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     300000 | PA      | $216033.00    | 0.11%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                             | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2C          | CUSIP: 61749NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1493641 | PA      | $743050.46    | 0.37%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $264.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-1514.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.45000 05/05/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3830.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $112.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                             | BX TRUST BX 2022 AHP B 144A                           | CUSIP: 05610FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     983916 | PA      | $984381.27    | 0.48%             | 2039-01-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $11837.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $5319.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $307.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260421                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $137.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1090.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86600 11/14/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $503.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-10131.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5           | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     950531 | PA      | $972301.97    | 0.48%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2760000 | PA      | $2661151.57   | 1.31%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $57004.77     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1150.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3501.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-10.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $4073.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-87.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8475 FR 11/54 FIXED 5.5           | CUSIP: 3132DWMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7703304 | PA      | $7747161.26   | 3.81%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.68500 12/02/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $458.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -231944 | NC      | $-204.81      | -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      | $-13332.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2021.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $120475.90    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2828.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97500 03/21/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2407.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.245 09/02/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-40123.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1      | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         72 | PA      | $73.28        | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A1      | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     742477 | PA      | $689916.05    | 0.34%             | 2035-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-50.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-682.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-682.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2013.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-669.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD HUF BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-2790.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                       | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1               | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        139 | PA      | $142.59       | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260401                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-382.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260721                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-365.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2485.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FA                               | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1021067 | PA      | $1029358.78   | 0.51%             | 2055-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-136203.93   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6700000 | NC      | $430021.41    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $823.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L           | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97261 | PA      | $67760.51     | 0.03%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $267.19       | 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        |      83000 | PA      | $82701.72     | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-23277.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-10315.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                          | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1         | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16010 | PA      | $16009.28     | 0.01%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45      | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      93975 | PA      | $96070.40     | 0.05%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8       | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202302.87    | 0.10%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $363.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $252151.52    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-12571.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $60.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSST TRS EQUITY SOFR+53 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-3420268.96  | -1.68%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $190.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A1            | CUSIP: 46630GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46441 | PA      | $45111.43     | 0.02%             | 2035-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-866.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C       | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338553 | PA      | $77984.90     | 0.04%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-21874.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-4204.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 09/17/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-588024.39   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2083.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-2                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 2 A5 144A   | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89414 | PA      | $89098.48     | 0.04%             | 2033-01-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $713.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A  | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155130 | PA      | $156135.24    | 0.08%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4479.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260804                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4219.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-9015.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-4646.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 02/33 13.25                | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1785500000 | PA      | $478714.15    | 0.24%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.00000 09/16/26-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $173354.27    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 FH                               | CUSIP: 3137HKGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     897175 | PA      | $904191.70    | 0.44%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $718.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $719.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-779.07      | -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      | $1141.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                              | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625   | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     300000 | PA      | $210780.00    | 0.10%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1449.90     | -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      | $-108.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1473.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-1956.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1860.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-242.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74200 03/26/26-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4343.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-5X                                    | SLM STUDENT LOAN TRUST SLMA 2004 5X A6 REGS           | CUSIP: B02JZGII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     410995 | PA      | $442888.67    | 0.22%             | 2039-10-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1108.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-90575.02    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                          | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2690000 | PA      | $2702088.16   | 1.33%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1446.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3295.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $34.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $239.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2556.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                              | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 1A1        | CUSIP: 225458W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     710815 | PA      | $544064.28    | 0.27%             | 2035-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $199.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-17954.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                    | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                 | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100199 | PA      | $90279.13     | 0.04%             | 2036-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5              | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3200000 | PA      | $176758.57    | 0.09%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 3M CORRA FUTURES  MAR27 XMOD 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          9 | NC      | $-3292.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                             | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1     | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9091 | PA      | $8602.54      | 0.00%             | 2037-07-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A      | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $811838.56    | 0.40%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-585.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS COP IBR/8.59000 09/02/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $60863.45     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.487 12/07/21-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16448.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1            | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        172 | PA      | $168.59       | 0.00%             | 2035-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8               | CUSIP: 362669BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231184 | PA      | $143403.82    | 0.07%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15           | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304285.78    | 0.15%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC76A6 PIMCO SWAPTION 4.0325 PUT USD 202605        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $7105.76      | 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      | $17.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $1128.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $1409.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $51477.41     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110260 | PA      | $110081.03    | 0.05%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $23364.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-5Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-40447.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-260.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $304.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $533.89       | 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      | $-4274.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3651.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-7490.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-221.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 5A1       | CUSIP: 07384MTM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2867 | PA      | $2898.10      | 0.00%             | 2033-04-25      | Floating      | 5.91%                 | 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        |      51000 | PA      | $50844.61     | 0.02%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $282.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B     | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     807255 | PA      | $552917.42    | 0.27%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP MYC                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $72043.27     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $50.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-193.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/20/24-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22935.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $5956.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-233.16      | -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      | $408.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1744.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2            | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8774 | PA      | $3802.88      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-262.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-660.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-249.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-12.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A       | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107139 | PA      | $91471.52     | 0.04%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3848                                           | FREDDIE MAC FHR 3848 WX                               | CUSIP: 3137A9D52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46297 | PA      | $46900.21     | 0.02%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                          | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 3A1     | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258806 | PA      | $228750.41    | 0.11%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 01/08/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $341.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B       | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1662149 | PA      | $384423.07    | 0.19%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-6081.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/18/24-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $599395.37    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A2      | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121726 | PA      | $33427.98     | 0.02%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 A3        | CUSIP: 80287DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      58742 | PA      | $58799.14     | 0.03%             | 2028-07-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2800.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9271 05/08/25-01/04/27 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-15422.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-84.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $2.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-648.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $609.42       | 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      | $1846.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5473                                           | FREDDIE MAC FHR 5473 FA                               | CUSIP: 3137HHFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     557590 | PA      | $559478.47    | 0.28%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4     | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235234 | PA      | $110794.81    | 0.05%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $111.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ADJ IR S+P 500 TR JUN26 XCME 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        -21 | NC      | $355341.00    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.81 01/27/26-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-32663.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $19332349.14  | 9.51%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSST TRS EQUITY SOFR+20 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-12954.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-47.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-278.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $96.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                           | FREDDIE MAC FHR 3376 FD                               | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18035 | PA      | $18069.91     | 0.01%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $343.49       | 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      | $829.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-103.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $30806.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4       | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          7 | PA      | $7.32         | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-84.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.59000 01/09/26-4Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $735.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1       | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131004 | PA      | $124057.49    | 0.06%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 3YR BOND FUT JUN26 XSFE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -5 | NC      | $1280.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-628.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                               | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     577690 | PA      | $581481.14    | 0.29%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                            | CHASEFLEX TRUST CFLX 2007 3 2A1                       | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157702 | PA      | $139929.40    | 0.07%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3900000 | NC      | $-12870.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 08/32 6.15            | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     900000 | PA      | $270468.12    | 0.13%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4        | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1058544 | PA      | $505070.50    | 0.25%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $803.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $419.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3489.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.52250 12/01/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-1701.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3      | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56659 | PA      | $49359.33     | 0.02%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-39.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT GOVERNMENT BOND BONDS 03/28 21.954              | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   14500000 | PA      | $259739.59    | 0.13%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1     | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        709 | PA      | $697.47       | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | FED FUND 30DAY    MAY26 XCBT 20260529                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         19 | NC      | $-30650.78    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-30196.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $537.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25             | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   29650000 | PA      | $1408481.23   | 0.69%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MARGAY CLO II DAC 2A                                              | MARGAY CLO MARGA 2A AR 144A                           | CUSIP: ACI384PC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $576578.14    | 0.28%             | 2037-07-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-18198.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $347.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260414                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7449.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10392.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-883.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2767.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6380000 | PA      | $-5362439.89  | -2.64%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                      | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8       | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   55000000 | PA      | $60468.77     | 0.03%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2369.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $78983.96     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $94776.96     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $55.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1069.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5137.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1710.82     | -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      | $130.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -1 | NC      | $3983.24      | 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      | $504.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ABX.HE.AAA.06-2 SP BOA                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-117845.70   | -0.06%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $64.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -3800000 | NC      | $-3088.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2026-21                                         | FANNIE MAE FNR 2026 21 YF                             | CUSIP: 3136G5FC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $5484459.75   | 2.70%             | 2055-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01035 06/30/26-27Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21978.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $893.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $351.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-65.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1826.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7     | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3900000 | PA      | $1227997.36   | 0.60%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY45 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $16135.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO XIII DAC 13A                                           | ARBOUR CLO ARBR 13A AR 144A                           | CUSIP: ACI38J3K2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $921895.04    | 0.45%             | 2038-08-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                              | GSAMP TRUST GSAMP 2007 NC1 A2A                        | CUSIP: 3622MGAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549711 | PA      | $272787.65    | 0.13%             | 2046-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-1859.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $7.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $133.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOFTBANK GROUP CORP SNR JP SP GST                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-122.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   18100000 | PA      | $18100000.00  | 8.90%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $111505.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEP6 PIMCO FXVAN PUT USD BRL 5.12000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -670000 | NC      | $-4186.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.14800 11/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1714.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                      | PPM CLO, LTD. PPMC 2021 5A AR 144A                    | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700824.04    | 0.34%             | 2034-10-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     368056 | NC      | $1097.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $296.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $381.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-89.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1352.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $425.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-OAT FUTURE   JUN26 XEUR 20260608                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -98 | NC      | $425517.68    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                             | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     310467 | PA      | $310427.16    | 0.15%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260428                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-537.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1949.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0136 FR 12/53 FIXED 4.5           | CUSIP: 3142GQEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     269356 | PA      | $260222.61    | 0.13%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-74                                         | FANNIE MAE FNR 2025 74 FB                             | CUSIP: 3136BXEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1215837 | PA      | $1226173.04   | 0.60%             | 2055-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-143.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3       | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133330 | PA      | $35083.92     | 0.02%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-184.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-281.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $229.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A      | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524769 | PA      | $501028.79    | 0.25%             | 2047-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2326.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-127.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-17.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 01/08/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $648.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAP I2002-AM3                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2002 AM3 A3      | CUSIP: 61746WWR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30906 | PA      | $31181.17     | 0.02%             | 2033-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.6075 07/28/25-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5361.55     | -0.00%            |  |  |  | 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        |   60260000 | PA      | $62294473.41  | 30.63%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                      | YI4360438 NIGERIA OMO BILL                            | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  247600000 | PA      | $156094.91    | 0.08%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4          | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3700000 | PA      | $1010192.82   | 0.50%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.52000 04/09/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3027.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5100000 | NC      | $288807.90    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1      | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        468 | PA      | $440.68       | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEO9 PIMCO FXVAN PUT USD BRL 5.32000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     670000 | NC      | $19792.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-534.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2410.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1857.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18659 FG 09/32 FIXED 3             | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221757 | PA      | $215943.60    | 0.11%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2324.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000             | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1200000 | PA      | $70056.53     | 0.03%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG46 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-592046.80   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-798.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-16                                                | FANNIE MAE FNR 2006 16 SM                             | CUSIP: 31394V6K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103653 | PA      | $7355.40      | 0.00%             | 2036-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $108.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $3301.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3059.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $632.66       | 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      | $-6226.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5965.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-525.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-3249.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $1276.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2007-NC1                               | HSI ASSET SECURITIZATION CORPO HASC 2007 NC1 A3       | CUSIP: 40430TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     558410 | PA      | $363167.75    | 0.18%             | 2037-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $218.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $141.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B     | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1249561 | PA      | $465012.87    | 0.23%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A      | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     150000 | PA      | $150292.85    | 0.07%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7760000 | PA      | $7644158.41   | 3.76%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                      | ACE SECURITIES CORP. ACE 2006 HE4 A2A                 | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2123 | PA      | $818.07       | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-2445.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.75000 06/21/23-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $503744.71    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $29763.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $395.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8       | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201150.64    | 0.10%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-72.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                   | BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1            | CUSIP: 07386HXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160006 | PA      | $147979.11    | 0.07%             | 2035-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1     | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     196389 | PA      | $132557.42    | 0.07%             | 2037-06-25      | Floating      | 3.87%                 | 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      | $-1039.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10421.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         19 | NC      | $-27706.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2887.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                          | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4020000 | PA      | $3884178.91   | 1.91%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88000 01/13/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1124.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A        | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9431 | PA      | $9234.33      | 0.00%             | 2033-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $41.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 10/35 VAR            | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98938.96     | 0.05%             | 2035-10-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260724                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $11257.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-3279.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A1A      | CUSIP: 86359LEV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5585 | PA      | $5547.24      | 0.00%             | 2035-02-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1132.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-985.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.99000 12/08/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-365.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                              | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4         | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608737 | PA      | $108844.45    | 0.05%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-682.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -900000 | NC      | $-363.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-137.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15         | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   14400000 | PA      | $4327489.87   | 2.13%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-882.79      | -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      | $-685.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-279.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP JPM                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $452271.04    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR               | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    7900000 | PA      | $177061.82    | 0.09%             | 2028-09-06      | Fixed         | 39.28%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $5091.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C          | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     883057 | PA      | $405911.33    | 0.20%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $234.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-69.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1561.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1      | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1629 | PA      | $1599.37      | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC9LA5 PIMCO SWAPTION 4.095 PUT USD 2026040        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2250000 | NC      | $359.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $36446.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-271.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC                  | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A   | CUSIP: 05377RHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $305651.46    | 0.15%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88400 03/25/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1007.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4878.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                          | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A   | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111500 | PA      | $102381.95    | 0.05%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $13277.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2C                        | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1127542 | PA      | $557354.84    | 0.27%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2950.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $72.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1157.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-1842.32     | -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      | $-8126.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                       | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35           | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     100000 | PA      | $76591.39     | 0.04%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-29143.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-846.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG     | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $70000.00     | 0.03%             | 2060-12-31      | None          | 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      | $-2649.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1392.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2400000 | NC      | $123230.88    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $253.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-10979.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2030000 | PA      | $2036733.21   | 1.00%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5420 FN 07/54 FIXED 5.5                   | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     857751 | PA      | $862939.82    | 0.42%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $100.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SIS6 PIMCO CDSOPT PUT USD 96.58984375 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4400000 | NC      | $36899.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-25.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 3.76000 11/01/24-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-481.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                | FANNIE MAE FNR 2005 75 AF                             | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17728 | PA      | $17587.53     | 0.01%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA        | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     282316 | PA      | $287902.00    | 0.14%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $210.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 06/20/24-2Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $900.03       | 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      | $1796.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                          | FANNIEMAE ACES FNA 2020 M33 X2                        | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     462501 | PA      | $21108.82     | 0.01%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A      | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88854 | PA      | $88030.70     | 0.04%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-554.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-369.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                      | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                    | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3518 | PA      | $3504.86      | 0.00%             | 2042-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $26.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-256.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-218.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -368056 | NC      | $-294.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-9707.69     | -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      | $-15.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8550000 | PA      | $8069131.07   | 3.97%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5        | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8708 | PA      | $4106.93      | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4       | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1381935 | PA      | $408193.21    | 0.20%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 09/10/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2226.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1998.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ0947 FR 07/54 FIXED 5.5           | CUSIP: 3133CRBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     560812 | PA      | $568274.13    | 0.28%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2796.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-414.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1       | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     351681 | PA      | $276359.45    | 0.14%             | 2036-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-374.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $81.67        | 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      | $-112519.93   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $105.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1973.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3289                                                  | FREDDIE MAC FHR 3289 FG                               | CUSIP: 31397FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49876 | PA      | $49423.38     | 0.02%             | 2037-03-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1024.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1              | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4595 | PA      | $4473.51      | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-10434.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.985 01/27/26-01/02/31 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-25666.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SB53 PIMCO CDSOPT CALL USD 0.5 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -15800000 | NC      | $-6243.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-290.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $683.92       | 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      | $406.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $100.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.32 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1785.32     | -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      | $1116.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $356.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                 | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2       | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382729 | PA      | $360281.44    | 0.18%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                     | GSAA HOME EQUITY TRUST GSAA 2006 9 A2                 | CUSIP: 362382AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     247559 | PA      | $44277.63     | 0.02%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $228.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2011-R2                              | MORGAN STANLEY REREMIC TRUST MSRR 2011 R2 1A 144A     | CUSIP: 61760JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85180 | PA      | $36634.33     | 0.02%             | 2037-05-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89600 01/08/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1390.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1900000 | NC      | $-769.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $33033.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCAAA4 PIMCO SWAPTION 3.889 PUT USD 2026043        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $9048.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                         | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5  | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     900000 | PA      | $905850.00    | 0.45%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86500 11/20/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $493.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-421.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4720000 | PA      | $4677620.31   | 2.30%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260429                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-559.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $195.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-5026.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                           | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A        | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500625.01    | 0.25%             | 2034-08-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $502.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.97000 12/15/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-150.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-81770.24    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-5Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-55308.60    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2692.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $50.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY46 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4957.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-84.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $35548.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-7414.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE               | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     310000 | PA      | $271872.35    | 0.13%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $1372.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                    | FREMONT HOME LOAN TRUST FHLT 2005 E 2A4               | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115168 | PA      | $112452.07    | 0.06%             | 2036-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2300000 | NC      | $147619.29    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1648.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-318.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2002.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1711.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-931.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1900000 | NC      | $2732.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-30035.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42722.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-412.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6199998 | PA      | $5692510.15   | 2.80%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-20360.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SC60 PIMCO CDSOPT PUT USD 102.32812500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-5390.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-942.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261228                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $216.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        686 | NC      | $-899367.20   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $294.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-63.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $454.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  130700000 | NC      | $810235.44    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $16722.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1      | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10529 | PA      | $7915.73      | 0.00%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1212.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3304.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1138.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-30.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875            | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   20700000 | PA      | $1202272.88   | 0.59%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BOA                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $126075.73    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95         | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     720000 | PA      | $224400.24    | 0.11%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                   | BEAR STEARNS ALT A TRUST BALTA 2006 7 1A1             | CUSIP: 073875AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12401 | PA      | $11465.30     | 0.01%             | 2046-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1      | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1870 | PA      | $1786.61      | 0.00%             | 2035-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-16717.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9448 FN 11/54 FIXED 4.5                   | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     367525 | PA      | $359513.73    | 0.18%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2179.05     | -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      | $1199.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-16497.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-220.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89900 03/11/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1274.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A1            | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13178 | PA      | $9348.61      | 0.00%             | 2037-04-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1864.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2D          | CUSIP: 61753EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     806364 | PA      | $370750.17    | 0.18%             | 2037-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18580000 | PA      | $18326587.75  | 9.01%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2    | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15561 | PA      | $8606.19      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 07/26 0.00000            | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7900000 | PA      | $1477005.69   | 0.73%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $492.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SB46 PIMCO CDSOPT PUT USD 0.65 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   12500000 | NC      | $29943.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-7951.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $73.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCA9A6 PIMCO SWAPTION 3.589 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-11109.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2743.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2864.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOX8 PIMCO CDSOPT PUT USD 96.10156250 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-3835.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $319.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3       | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197346 | PA      | $180715.80    | 0.09%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-13492.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-16698.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBSFA1 PIMCO SWAPTION 3.449 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3500000 | NC      | $24.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $1342.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-659.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $794.43       | 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      | $-1902.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1827.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1        | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5010 | PA      | $4864.89      | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2114.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $565.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2717.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1049.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1400.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $433.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3466.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-369989.80   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $335.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCAEA0 PIMCO SWAPTION 4.219 PUT USD 2026060        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2300000 | NC      | $7957.08      | 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      | $-769.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1800000 | NC      | $101932.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAN1A8 PIMCO SWAPTION 4.082 PUT USD 2027010        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   24400000 | NC      | $37651.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $516.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                | FANNIE MAE FNR 2007 65 KF                             | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9523 | PA      | $9435.38      | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1442.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260713                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-957.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3530.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -7210000 | PA      | $-6595484.63  | -3.24%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7854.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-575.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $348.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCO1 PIMCO CDSOPT PUT USD 101.11328125 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-2726.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $319.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-495.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74800 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2839.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-432.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $469.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $60.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.975 12/16/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-42913.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -8 | NC      | $80316.69     | 0.04%             |  |  |  | No            |                  1 | 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      | $282023.01    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |          1 | NC      | $1479.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                 | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A      | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906387 | PA      | $292281.70    | 0.14%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A4     | CUSIP: 12667GTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        671 | PA      | $473.55       | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1573.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $673.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-519.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC7LA9 PIMCO SWAPTION 3.651 CALL USD 202606        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2600000 | NC      | $23085.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                             | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A     | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73135 | PA      | $70090.19     | 0.03%             | 2037-02-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6142.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 1A2    | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37773 | PA      | $22770.89     | 0.01%             | 2037-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $18250.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $56444.12     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $889.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-713.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG44 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-67666.15    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4454.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.51000 04/09/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3130.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-4088.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.06300 12/06/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-971.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-25.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2022-C                                   | BANKERS HEALTHCARE GROUP SECUR BHG 2022 C B 144A      | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     153842 | PA      | $154024.39    | 0.08%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                     | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A   | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12130 | PA      | $12102.47     | 0.01%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-17542.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1       | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66264 | PA      | $55614.85     | 0.03%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.5025 03/25/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4864.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1     | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1089349 | PA      | $864452.80    | 0.43%             | 2037-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -1950000 | NC      | $-62398.05    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-59.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3890.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                     | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A        | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500684.67    | 0.25%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1.58         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-8020.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-831.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1       | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86868 | PA      | $68325.38     | 0.03%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-137.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                               | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1         | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10976 | PA      | $9381.06      | 0.00%             | 2047-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2357.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $30.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $2166.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24800 09/18/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4314.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-103.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-235493.34   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FC                               | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61762 | PA      | $61911.77     | 0.03%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S7M1 PIMCO CDSOPT CALL USD 0.525 20260520        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -30300000 | NC      | $-18652.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3MO EURO EURIBOR  JUN27 IFLL 20270614                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -2 | NC      | $3667.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-3565.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85         | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $200970.00    | 0.10%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97000 01/15/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1253.75      | 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      | $-2127.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-13107.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A        | CUSIP: 41161QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241242 | PA      | $122373.00    | 0.06%             | 2036-06-19      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 1A13         | CUSIP: 126384BX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66148 | PA      | $33710.04     | 0.02%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $344.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.541 04/04/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-49.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-138.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-490.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6951.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2677161.56   | 1.32%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2600000 | NC      | $7490.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                            | CVS PASS THROUGH TRUST PASS THRU CE 01/30 6.943       | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      86878 | PA      | $89467.01     | 0.04%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                      | YI4360529 NIGERIA OMO BILL                            | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |  181400000 | PA      | $113667.46    | 0.06%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-108.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $1175.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR               | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    8100000 | PA      | $181635.54    | 0.09%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                      | ROMANIA SR UNSECURED REGS 07/39 6.75                  | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $462386.32    | 0.23%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1700000 | NC      | $2587.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7083.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $82153.92     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2400000 | NC      | $14087.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25             | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2600000 | PA      | $150042.11    | 0.07%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $20.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 01/35 11.75                | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 9503900000 | PA      | $2356358.73   | 1.16%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3948.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.09000 01/22/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4333.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $110725.66    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3692.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A5       | CUSIP: 16162YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59138 | PA      | $22796.34     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $350.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3236.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 10Y BOND FUT JUN26 XSFE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         32 | NC      | $-14473.17    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01300 01/15/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1584.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                          | LEHMAN XS TRUST LXS 2007 15N 2A1                      | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150598 | PA      | $148932.07    | 0.07%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $344.10       | 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      | $-859.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6850.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TRUST                                              | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM3 A1 144A | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     505290 | PA      | $504668.54    | 0.25%             | 2069-08-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                 | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A        | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      80423 | PA      | $80459.47     | 0.04%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-117.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $585.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-1931.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3391.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260414                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-510.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $377.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 6A3       | CUSIP: 863579C30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129185 | PA      | $120494.24    | 0.06%             | 2035-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1173.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BANK OF AMERICA CORPORATION SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $524.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $124.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                            | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1      | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217963 | PA      | $116291.00    | 0.06%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-910.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-544.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2203.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                            | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3      | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416548 | PA      | $419661.45    | 0.21%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2587.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1     | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52270 | PA      | $49114.84     | 0.02%             | 2036-12-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-404.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $79202.89     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033        | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     700000 | PA      | $693054.58    | 0.34%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-2A                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 2A A2 144A   | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     580028 | PA      | $584972.53    | 0.29%             | 2030-06-17      | Fixed         | 5.58%                 | 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        |     900000 | PA      | $926037.41    | 0.46%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAURA4 PIMCO SWAPTION 3.174 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2400000 | NC      | $958.80       | 0.00%             |  |  |  | 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        |   26480000 | PA      | $26953533.37  | 13.25%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-46.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $296.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $7419.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-504.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $2080.81      | 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      | $1133.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A   | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140291 | PA      | $131617.68    | 0.06%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2430.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $533.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLB9 PIMCO CDSOPT PUT USD 102.17187500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-21721.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                                  | FREDDIE MAC FHR 3368 AF                               | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65093 | PA      | $65244.57     | 0.03%             | 2037-09-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $109.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                    | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS          | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       4357 | PA      | $5760.71      | 0.00%             | 2044-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1037.64     | -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      | $-227.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A      | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18567 | PA      | $16938.34     | 0.01%             | 2036-12-19      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                    | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1               | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10751 | PA      | $10197.26     | 0.01%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2931.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A     | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      98568 | PA      | $99101.99     | 0.05%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.61000 03/24/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3826.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4572.48     | -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      | $4.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 03/18/26-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4007.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1542.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A3      | CUSIP: 92927XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24052 | PA      | $21675.76     | 0.01%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5221.82     | -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      | $-2185.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | KBCZ26C45 DEC26 45 CALL FSO                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         28 | NC      | $2100.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $8601.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                           | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A4       | CUSIP: 43709XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94720 | PA      | $66892.02     | 0.03%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-176.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A      | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645060 | PA      | $628153.81    | 0.31%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2069320.06   | 1.02%             | 2056-04-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1629.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2348.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1264.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $856.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $576.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20270128                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4766.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN45 5Y ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-2436.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT TREASURY BILL BILLS 10/26 0.00000               | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     250000 | PA      | $4019.85      | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8CA7 PIMCO SWAPTION 3.899 PUT USD 2026062        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2900000 | NC      | $-20161.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND              | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |       2219 | PA      | $21610.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $70038.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                      | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A             | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1002986.25   | 0.49%             | 2037-04-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     970000 | NC      | $69322.02     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-692.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $535.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1       | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3457 | PA      | $3229.03      | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $319.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5    | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     400000 | PA      | $397501.85    | 0.20%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-444.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $296.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $170.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $26975.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1210.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $75.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.46000 04/01/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3661.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4592.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A2    | CUSIP: 92922F5U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13055 | PA      | $12323.21     | 0.01%             | 2045-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.89000 12/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $505.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 3AF        | CUSIP: 86361BAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118229 | PA      | $94175.87     | 0.05%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-128.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-208.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2500000 | NC      | $-20431.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $169.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.487 04/03/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-30831.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.67900 03/10/26-10Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14928.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 7 LTD                                             | CROWN POINT CLO 7, LTD CRNPT 2018 7A AR 144A          | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      28747 | PA      | $28747.10     | 0.01%             | 2031-10-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A5      | CUSIP: 126694S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11913 | PA      | $10893.34     | 0.01%             | 2046-05-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                      | YI4360503 NIGERIA OMO BILL                            | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  433300000 | PA      | $272335.73    | 0.13%             | 2027-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1240.92     | -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      | $196.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.38000 12/31/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5598.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.46000 03/13/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5037.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $77480.96     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-10901.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $650.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375         | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $207094.00    | 0.10%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A      | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14270 | PA      | $13726.48     | 0.01%             | 2046-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-6208.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                      | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7   | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   45000000 | PA      | $47596.25     | 0.02%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3450.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAOYA0 PIMCO SWAPTION 3.857 PUT USD 2026100        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   24300000 | NC      | $46434.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1801893.50   | 0.89%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-8260.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1          | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A  | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     193370 | PA      | $193752.69    | 0.10%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $401.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 5.00000 09/16/26-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-15186.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $831.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-189.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3166.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2265.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-7708.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4       | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3926 | PA      | $3838.99      | 0.00%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                | FANNIE MAE FNR 2005 79 NF                             | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37039 | PA      | $36826.51     | 0.02%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-8337.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSST TRS EQUITY SOFR+43 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-2645437.44  | -1.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $18082.80     | 0.01%             |  |  |  | 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      | $180188.48    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $427.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $451.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $33.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $66603.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                           | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1         | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90075 | PA      | $78892.60     | 0.04%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                            | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A        | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     133323 | PA      | $133459.56    | 0.07%             | 2031-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20261009                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3936.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $905.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 03/03/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-577.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-18202.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -4900000 | NC      | $-1984.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-60.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2570000 | PA      | $2582238.75   | 1.27%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                             | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2        | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32233 | PA      | $28775.98     | 0.01%             | 2035-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5200000 | PA      | $304008.51    | 0.15%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4995.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260720                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3772.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A     | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     352316 | PA      | $353250.12    | 0.17%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2400000 | NC      | $142165.44    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.11000 08/25/27-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4068.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1044.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                           | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1         | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23072 | PA      | $22754.37     | 0.01%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $79641.39     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $21.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $70686.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A   | CUSIP: 12669HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165069 | PA      | $158583.15    | 0.08%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKLA1 PIMCO SWAPTION 3.7625 PUT USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-11892.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $508.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1            | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12132 | PA      | $6622.79      | 0.00%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3844                                           | FREDDIE MAC FHR 3844 PC                               | CUSIP: 3137A8VQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     242523 | PA      | $245668.25    | 0.12%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 04/26 ZCP                     | CUSIP: 40412DDG1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2694928.05   | 1.33%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A      | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1645 | PA      | $1409.51      | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-170873.01   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1881.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-L                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 L 2A1       | CUSIP: 05949AZE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8038 | PA      | $7781.10      | 0.00%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-140.63      | -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      | $6035.02      | 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      | $518.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1216.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A1       | CUSIP: 126670KK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264614 | PA      | $243213.81    | 0.12%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 02/12/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5508.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                  | FREDDIE MAC FHR 3355 BF                               | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117553 | PA      | $117737.23    | 0.06%             | 2037-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A        | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201477 | PA      | $106094.87    | 0.05%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6250.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB8491 FN 07/54 FIXED 5.5                   | CUSIP: 3140AJNH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33671 | PA      | $33947.70     | 0.02%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $703.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                              | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A     | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     589913 | PA      | $590598.78    | 0.29%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-42.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 09/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-71467.56    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                      | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000    | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     270000 | PA      | $226327.50    | 0.11%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2914.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-608.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1388.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBFPA8 PIMCO SWAPTION 3.7675 PUT USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-1768.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-274.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2C             | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     821113 | PA      | $376656.55    | 0.19%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3949.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-1                             | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 1A1       | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462671 | PA      | $339928.29    | 0.17%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     231944 | NC      | $740.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3528.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.53000 04/23/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2959.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $231.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1       | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40610 | PA      | $34235.26     | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-447.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $2135.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1157.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-624.49      | -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      | $-77299.28    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $19777.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CMBX.NA.AAA.16 SP SAL                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-4240.61     | -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      | $-2526.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-3084.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FB                               | CUSIP: 3137HMGK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5760862 | PA      | $5775517.99   | 2.84%             | 2055-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $318.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.52 03/27/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5635.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.10000 01/21/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2244.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1464.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260526                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $11722.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT GOVERNMENT BOND BONDS 10/30 19.698              | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   14500000 | PA      | $261194.11    | 0.13%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.07100 01/15/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2030.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6909.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                              | ARBOUR CLO ARBR 6A AR 144A                            | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $809221.94    | 0.40%             | 2037-11-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260727                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $5434.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $21700.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $261.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $266.32       | 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      | $17.38        | 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      | $-4768.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                      | CUSIP: 49271KE75<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $995565.50    | 0.49%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2764                                                  | FREDDIE MAC FHR 2764 ZG                               | CUSIP: 31394TYD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53186 | PA      | $54503.55     | 0.03%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-831.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65           | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     200000 | PA      | $167904.42    | 0.08%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $265.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO IV DAC 4A                                       | ALBACORE EURO CLO ALBAC 4A AR 144A                    | CUSIP: ACI2Q3N92<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     999835 | PA      | $1157092.86   | 0.57%             | 2035-07-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                       | ICG US CLO LTD ICG 2021 3A AR 144A                    | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1101341.87   | 0.54%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.77500 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1442.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-168.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2102.47      | 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      | $5310.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5200.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                        | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45 | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     500000 | PA      | $495041.19    | 0.24%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $209.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                            | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2660000 | PA      | $2701899.02   | 1.33%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 03/18/26-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16609.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2830.12     | -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      | $1223.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1420.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     900000 | NC      | $52060.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-739.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $121.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 11/40 12.75                | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 2062700000 | PA      | $546718.11    | 0.27%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.58000 08/29/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2024.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -129 | NC      | $288139.30    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1687.45     | -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      | $-1794.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01500 12/30/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1621.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKX2 PIMCO CDSOPT CALL USD 0.55 20260617         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -3000000 | NC      | $-3488.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD 2021-25A                                     | SYMPHONY CLO LTD SYMP 2021 25A AR 144A                | CUSIP: 87167WDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $900501.28    | 0.44%             | 2034-04-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260721                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-288.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5697.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $309.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260421                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-491.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKZ7 PIMCO CDSOPT PUT USD 99.09765625 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   18400000 | NC      | $15949.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2       | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16137 | PA      | $15323.64     | 0.01%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1632.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-711.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-936.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.2914 05/08/25-01/02/29 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-25664.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1347.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.42000 03/07/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5373.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-4285.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-425.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $13354.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1820000 | PA      | $1713871.61   | 0.84%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAODA3 PIMCO SWAPTION 4.093 PUT USD 2027010        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   22800000 | NC      | $34503.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CZK SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-929.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.33675 07/06/26-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17035.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $371.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $943.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A      | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         73 | PA      | $74.41        | 0.00%             | 2033-02-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-4                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 A          | CUSIP: 17307GWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        691 | PA      | $691.14       | 0.00%             | 2035-08-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260520                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6110.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1082.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $463.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1      | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11715 | PA      | $10667.63     | 0.01%             | 2035-11-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2299.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-330.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                         | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A C 144A        | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $504955.80    | 0.25%             | 2031-02-18      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $296.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $416.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 05/34 VAR                   | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $420139.13    | 0.21%             | 2034-05-09      | Floating      | 6.22%                 | 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      | $13657.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-5301.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1112.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUTA2 PIMCO SWAPTION 3.174 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $79.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1700000 | NC      | $-686.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S949 PIMCO CDSOPT CALL USD 0.5 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -23100000 | NC      | $-7131.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CCA VINTAGE 2026  DEC26 IFED 20261224                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         27 | NC      | $-120951.72   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| ISHARES CORE S&P 500 ETF                                          | ISHARES CORE S+P 500 ETF ISHARES CORE S+P 500 ETF     | CUSIP: 464287200<br>LEI: 5493007M4YMN8XL48C14 | Long             | EC               | CORP              | US        |      11692 | NS      | $7637331.32   | 3.76%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-27158.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261217                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1341.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $727.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DC9749 FN 01/55 FIXED 5.5                   | CUSIP: 3140AXZP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1103605 | PA      | $1126787.03   | 0.55%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2134.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2186.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-4343.74     | -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      | $-834.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC0UA4 PIMCO SWAPTION 3.3 CALL USD 20260602        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $5677.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOYCE PARK CLO LLC 2022-1A                                        | BOYCE PARK CLO, LLC BOYCE 2022 1A A1R 144A            | CUSIP: 103228AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1100000 | PA      | $1100324.61   | 0.54%             | 2035-04-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEQ4 PIMCO FXVAN CALL USD BRL 5.70000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -670000 | NC      | $-760.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-239.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.48500 12/02/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-218.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/21/23-5Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17848.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B    | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166189 | PA      | $164606.11    | 0.08%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-906.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.67600 01/09/26-5Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $675.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-491.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4427.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ7522 FN 01/27 FIXED 3                     | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16902 | PA      | $16805.18     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                        | LCM LTD PARTNERSHIP LCM 31A AR 144A                   | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001302.15   | 0.49%             | 2034-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3042.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1143.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-16755.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B     | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1363013 | PA      | $1017427.96   | 0.50%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1      | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29828 | PA      | $25506.55     | 0.01%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-7023.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 AF                             | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76307 | PA      | $76493.87     | 0.04%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-50.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | DEUTSCHE BANK REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    2500000 | PA      | $2500000.00   | 1.23%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                   | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1            | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137835 | PA      | $114877.79    | 0.06%             | 2035-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC7KA0 PIMCO SWAPTION 3.951 PUT USD 2026062        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2600000 | NC      | $-15198.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                     | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A    | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     240025 | PA      | $240428.14    | 0.12%             | 2032-10-23      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-260.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4892.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $81.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $82.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $379.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2586.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-564.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                         | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A             | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $1001005.92   | 0.49%             | 2034-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                    | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32191 | PA      | $31157.52     | 0.02%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1196.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $8649.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5008.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $629.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84000 01/08/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $264.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SO42 PIMCO CDSOPT PUT USD 96.85937500 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2500000 | NC      | $-56.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14583.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $10.02        | 0.00%             |  |  |  | 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      | $5666.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $4940.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $5349.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                             | ARES EURO CLO ARESE 14A BR 144A                       | CUSIP: ACI2RNVH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $579052.53    | 0.28%             | 2034-10-21      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.75000 09/16/26-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-367811.54   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9627 FN 12/54 FIXED 4.5                   | CUSIP: 3140QVVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     916782 | PA      | $896003.48    | 0.44%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-765.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $287.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-654.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                  | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A        | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     748535 | PA      | $749718.81    | 0.37%             | 2064-10-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                 | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  120000000 | PA      | $586688.51    | 0.29%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2023-1A                     | ONEMAIN DIRECT AUTO RECEIVABLE ODART 2023 1A A 144A   | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     557496 | PA      | $561530.69    | 0.28%             | 2029-11-14      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260626                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $288.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC63A1 PIMCO SWAPTION 3.4425 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $13400.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3629.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-6.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                            | PIKES PEAK CLO PIPK 2018 2A ARR 144A                  | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500689.88    | 0.25%             | 2034-10-11      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1190.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    3300000 | NC      | $5022.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-827.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                | FANNIE MAE FNR 2007 63 FC                             | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4357 | PA      | $4313.33      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $348.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $4719.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                            | PIKES PEAK CLO PIPK 2019 4A ARR 144A                  | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500669.45    | 0.25%             | 2034-07-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $21617.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         54 | NC      | $-114330.15   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 156 JF        | CUSIP: 38383BBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4537100 | PA      | $4550113.56   | 2.24%             | 2055-09-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                       | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A C          | CUSIP: 30165BAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $601635.84    | 0.30%             | 2030-01-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ICE 3MTH SONIA FU MAR27 IFLL 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         61 | NC      | $28183.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260715                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-7219.20     | -0.00%            |  |  |  | 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      | $-7530.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2358.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UARPA3 PIMCO SWAPTION 3.146 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $167.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR               | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     100000 | PA      | $2250.36      | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 01/28 0.75                            | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $283798.83    | 0.14%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-761.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -3300000 | NC      | $-1333.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A    | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     391108 | PA      | $390895.20    | 0.19%             | 2053-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.39000 10/01/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5319.27      | 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      | $-1367.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2238.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $268.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-142.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QI7629 FR 06/54 FIXED 5.5           | CUSIP: 3133WEPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21609 | PA      | $21999.47     | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $47.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.15000 08/25/27-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-94154.83    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                            | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3        | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1602447 | PA      | $484857.79    | 0.24%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 07/30 3.875                           | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2300000 | PA      | $2296451.17   | 1.13%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2511.41      | 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        | 7639400000 | PA      | $1926127.38   | 0.95%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1546.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $647.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S7L3 PIMCO CDSOPT PUT USD 0.65 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   46300000 | NC      | $86866.67     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 4.625                           | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $2037287.11   | 1.00%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4004.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4900000 | NC      | $7046.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                     | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A               | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500669.91    | 0.25%             | 2035-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $491.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70000 02/20/24-25Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $127474.52    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-6.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1331.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSST TRS EQUITY SOFR+22 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-685598.81   | -0.34%            |  |  |  | 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      | $-403.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $1979.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SJX4 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     490000 | NC      | $2867.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $983.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-100.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6012.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/27 0.625                           | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $189742.19    | 0.09%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2954.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1336.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-146.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4                      | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 B1         | CUSIP: 576433EU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124629 | PA      | $110857.75    | 0.05%             | 2033-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $3802.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                               | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5       | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152666 | PA      | $90578.91     | 0.04%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN44 5Y ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-1039.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5        | CUSIP: 542514KV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13253 | PA      | $13246.94     | 0.01%             | 2035-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $414.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-115                                               | FANNIE MAE FNR 2006 115 ES                            | CUSIP: 31396LT26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5192 | PA      | $5764.39      | 0.00%             | 2036-12-25      | Floating      | 11.45%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                    | COUNTRYWIDE HOME LOANS CWHL 2004 15 4A                | CUSIP: 12669FL50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22820 | PA      | $22879.97     | 0.01%             | 2034-10-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2667.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND               | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    3170546 | PA      | $31118905.06  | 15.30%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | OIS COP IBR/8.93300 10/28/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $59349.39     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1858.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $87.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1328.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2144.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90000 01/08/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $725.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-9353.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-32.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR39                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1      | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     256103 | PA      | $234675.94    | 0.12%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-31281.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-998.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $182169.43    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $3571.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 14.0087 05/12/25-01/04/27 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1965.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-556.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QZ5154 FR 10/55 FIXED 6             | CUSIP: 31427CWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197075 | PA      | $201933.73    | 0.10%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                  | FREDDIE MAC FHR 3181 PS                               | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235604 | PA      | $22675.94     | 0.01%             | 2036-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $3.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $781.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-18.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                          | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $183473.57    | 0.09%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9255 05/08/25-01/04/27 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1438.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $399.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-60.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000           | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    7000000 | PA      | $156348.36    | 0.08%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6     | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     700000 | PA      | $205395.56    | 0.10%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2200000 | NC      | $-13035.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  JUN26 XEUR 20260608                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         93 | NC      | $-336924.32   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85500 11/19/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $416.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $83.48        | 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      | $-1842.91     | -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      | $-3560.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14512.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2      | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6785 | PA      | $6592.38      | 0.00%             | 2035-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $261.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260520                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6508.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1     | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397646 | PA      | $355643.62    | 0.17%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $37.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $146.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2020-1 DAC  20-1A                                | BARINGS EURO CLO BABSE 2020 1A ARR 144A               | CUSIP: ACI316LH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $924146.64    | 0.45%             | 2038-10-21      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                         | FANNIE MAE FNR 2011 17 KS                             | CUSIP: 31397QZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     416155 | PA      | $39207.22     | 0.02%             | 2041-03-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-491.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     900000 | NC      | $1369.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $107.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  130700000 | NC      | $442131.96    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                            | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5340000 | PA      | $5278410.58   | 2.60%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F062648<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2000000 | PA      | $-2069320.06  | -1.02%            | 2056-04-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                         | FANNIE MAE FNR 2024 77 FM                             | CUSIP: 3136BTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     413612 | PA      | $414535.84    | 0.20%             | 2054-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 10/26 0.00000            | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   12800000 | PA      | $2315015.11   | 1.14%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1       | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3013 | PA      | $2842.88      | 0.00%             | 2034-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.72250 12/01/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $4231.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                          | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1995092.80   | 0.98%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-2156.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $175.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A1 144A      | CUSIP: 61753VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1140194 | PA      | $508893.19    | 0.25%             | 2037-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2168.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-200.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1353.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A1               | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2604 | PA      | $1615.57      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-846.15      | -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      | $-18040.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2966.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUZA5 PIMCO SWAPTION 3.56 PUT USD 20260428        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2700000 | NC      | $-35384.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $55447.02     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-144.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                    | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1        | CUSIP: 02660CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100802 | PA      | $58387.49     | 0.03%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 07/35 VAR                 | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200760.36    | 0.10%             | 2035-07-19      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1      | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35487 | PA      | $34337.59     | 0.02%             | 2036-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $8214.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XIV-B LTD                                      | NORTHWOODS CAPITAL LTD WOODS 2018 14BA AR 144A        | CUSIP: 66860CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     433716 | PA      | $434203.54    | 0.21%             | 2031-11-13      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2        | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1097 | PA      | $1066.08      | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72050 04/01/26-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-136.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-16N                                          | LEHMAN XS TRUST LXS 2007 16N 2A2                      | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165128 | PA      | $153175.94    | 0.08%             | 2047-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-974.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5           | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     520050 | PA      | $530365.23    | 0.26%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $18915.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2         | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     465977 | PA      | $452734.00    | 0.22%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $44.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-296.49      | -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      | $-918.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5480                                           | FREDDIE MAC FHR 5480 FG                               | CUSIP: 3137HHUD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     242833 | PA      | $244605.59    | 0.12%             | 2054-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.28000 03/04/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2333.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/17/26-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10680.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                  | FREDDIE MAC FHR 3136 NS                               | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18787 | PA      | $1679.54      | 0.00%             | 2036-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2874.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $95073.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2064.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $14.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAV0A1 PIMCO SWAPTION 3.26 CALL USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2600000 | NC      | $1738.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-5458.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-58.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1005.57      | 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      | $286.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-158.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $18.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13     | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405708 | PA      | $398495.41    | 0.20%             | 2036-12-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $62.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                | VICI PROPERTIES LP SR UNSECURED 11/31 5.125           | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99326.09     | 0.05%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                  | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1           | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14944 | PA      | $14646.67     | 0.01%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 10/34 7.25                 | CUSIP: ACI17K571<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1333600000 | PA      | $255615.29    | 0.13%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $62884.68     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     900000 | NC      | $48780.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22721.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-199.02      | -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      | $-2983.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAMPA4 PIMCO SWAPTION 4.141 PUT USD 2026123        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   24400000 | NC      | $33569.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-3.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-333.62      | -0.00%            |  |  |  | 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        |   -4350000 | PA      | $-3502939.42  | -1.72%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                     | ARGENT SECURITIES INC. ARSI 2006 M2 A2B               | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291221 | PA      | $94209.74     | 0.05%             | 2036-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1      | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359129 | PA      | $333671.72    | 0.16%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $19.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/17/26-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23892.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                               | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3        | CUSIP: 06051GAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1222 | PA      | $1252.50      | 0.00%             | 2034-09-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC75A7 PIMCO SWAPTION 3.7325 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-8659.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR        | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     300000 | PA      | $294552.23    | 0.14%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKMA0 PIMCO SWAPTION 3.4625 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2800000 | NC      | $2285.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLT0 PIMCO CDSOPT CALL USD 98.20703125 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-6082.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A4               | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6665 | PA      | $17325.25     | 0.01%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1413.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $1978.28      | 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      | $-2611.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBFQA7 PIMCO SWAPTION 3.2675 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3600000 | NC      | $0.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1095.74      | 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      | $-2817.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $611.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $33995.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.91000 12/29/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $342.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A      | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40361 | PA      | $37517.46     | 0.02%             | 2046-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1       | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138531 | PA      | $132593.79    | 0.07%             | 2035-12-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93300 01/06/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $980.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $4004.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8DA6 PIMCO SWAPTION 3.599 CALL USD 202606        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2800000 | NC      | $21658.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2      | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873323 | PA      | $272788.62    | 0.13%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 06/18/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-96414.87    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.35000 04/29/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $807.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $47.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3       | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1        | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     662632 | PA      | $521448.27    | 0.26%             | 2047-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-3187.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                            | CUSIP: 21H030641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6400000 | PA      | $-5714598.46  | -2.81%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $93.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-381.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86000 11/14/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $915.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3103.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BOBL FUTURE  JUN26 XEUR 20260608                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -8 | NC      | $16820.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  MAR27 XCME 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -3 | NC      | $3409.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14980.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-15.69       | -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      | $-60.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                 | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D      | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     428072 | PA      | $162203.19    | 0.08%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                             | IVORY COAST SR UNSECURED REGS 03/48 6.625             | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     300000 | PA      | $299492.35    | 0.15%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E                          | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1         | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8056 | PA      | $8014.02      | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-546.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2838.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1811.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3     | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     521339 | PA      | $138406.06    | 0.07%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-719.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $755.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7     | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     479016 | PA      | $247866.63    | 0.12%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $9158.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-384.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1             | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        241 | PA      | $240.89       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A  | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217872 | PA      | $218456.47    | 0.11%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                 | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2      | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3388641 | PA      | $811373.56    | 0.40%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A1           | CUSIP: 617526AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1482267 | PA      | $940433.60    | 0.46%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.79250 11/19/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-134.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2185.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                         | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A              | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1002627.79   | 0.49%             | 2037-07-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                          | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A              | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500684.19    | 0.25%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-321.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10824.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC0TA6 PIMCO SWAPTION 3.6 PUT USD 20260602         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-42930.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8081.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-178.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-3679.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-0.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A      | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1212163 | PA      | $1081387.99   | 0.53%             | 2046-10-25      | Floating      | 4.74%                 | 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        |    6430000 | PA      | $6024194.34   | 2.96%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer