# EDGAR Filing Document

**Accession Number:** 0001098605
**File Stem:** 0001098605-25-000136
**Filing Date:** 2025-8
**Character Count:** 489721
**Document Hash:** 2f6869e56fa2800f45cd1b8b034a3978
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001098605-25-000136.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001098605-25-000136

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Managed Accounts Trust
- **CENTRAL INDEX KEY:** 0001098605

**ORGANIZATION NAME:**
- **EIN:** 066484967
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09721
- **FILM NUMBER:** 251277456

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AllianzGI Managed Accounts Trust
- **DATE OF NAME CHANGE:** 20130125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANZ GLOBAL INVESTORS MANAGED ACCOUNTS TRUST
- **DATE OF NAME CHANGE:** 20090626

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANZ GLOBAL INVESTORS
- **DATE OF NAME CHANGE:** 20090626

## Series and Classes Contracts Data

### Fixed Income SHares: Series M (Series ID: S000004803)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013019 | Series M     | FXIMX           |

## 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 Managed Accounts Trust

- **b. Investment Company Act file number:** 811-09721

- **c. CIK number of Registrant:** 0001098605

- **d. LEI of Registrant:** 549300QOE6UAECNZYE02

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (800) 927-4648

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

- **a. Name of Series:** Fixed Income SHares: Series M

- **b. EDGAR series identifier (if any):** S000004803

- **c. LEI of Series:** 5493007LPIGTL4MBQE69

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3668797708.00

**Total Liabilities:** $1962419590.79

**Net Assets:** $1706378117.21

**Delayed Delivery Securities:** $2473696.36

**Cash Not Reported:** $4471853.75

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 51324.503500 | **1-Year:** 114309.170900 | **5-Year:** 696902.284300 | **10-Year:** 221536.787900 | **30-Year:** 9196.960400

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

- **3-Month:** 6735.763200 | **1-Year:** 28035.595200 | **5-Year:** 115810.387600 | **10-Year:** 11860.331500 | **30-Year:** 34.939600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000013019 | -0.07%               | -0.41%               | 2.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-857360.00              | $487255.93                                 |
| Month 2  | $-2225977.22             | $-6946720.05                               |
| Month 3  | $-1645175.44             | $29854313.33                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Credit Total Return Unhedged USD Index

- **Index Identifier:** LUCRTRUU

### 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                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-122394.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $7356350.84    | 0.43%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 2A1       | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338012 | PA      | $142580.34     | 0.01%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                            | LEHMAN XS TRUST LXS 2006 16N A4B                       | CUSIP: 52522DAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7048 | PA      | $9844.70       | 0.00%             | 2046-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5787075 | PA      | $5213664.21    | 0.31%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-5                                     | BEAR STEARNS ALT A TRUST BALTA 2004 5 M                | CUSIP: 07386HJN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698254 | PA      | $626662.82     | 0.04%             | 2034-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL EDISON INTERNATIONAL              | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     600000 | PA      | $593697.68     | 0.03%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M7       | CUSIP: 17307GUX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $863708.60     | 0.05%             | 2035-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-3                                    | TOWD POINT MORTGAGE TRUST TPMT 2019 3 A1 144A          | CUSIP: 89177LAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4701954 | PA      | $4601297.58    | 0.27%             | 2059-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A               | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2900000 | PA      | $2901552.37    | 0.17%             | 2033-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3         | CUSIP: 32027NQN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886340 | PA      | $894450.02     | 0.05%             | 2034-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| DR HORTON INC                                                       | D.R. HORTON INC COMPANY GUAR 10/34 5                   | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3957221.52    | 0.23%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-84851.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL REAL ESTATE NOTES 2025-FL4                     | GREYSTONE COMMERCIAL REAL ESTA GSTNE 2025 FL4 A 144A   | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $7008989.54    | 0.41%             | 2043-01-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75         | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2444355.06    | 0.14%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.64500 08/07/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52188.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF3         | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205571 | PA      | $81478.94      | 0.00%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A3        | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96388 | PA      | $19113.34      | 0.00%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 08/25 0.00000                            | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      51000 | PA      | $50777.46      | 0.00%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                     | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A             | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4868 | PA      | $4851.97       | 0.00%             | 2040-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                               | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C           | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1996928 | PA      | $871443.82     | 0.05%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 555177 FN 01/33 FLOATING VAR                 | CUSIP: 31385WXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6810 | PA      | $6980.80       | 0.00%             | 2033-01-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080060 G2 04/27 FLOATING VAR              | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $282.41        | 0.00%             | 2027-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-OPT2                                 | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5       | CUSIP: 144531CN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175490 | PA      | $170242.27     | 0.01%             | 2035-05-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A     | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20098 | PA      | $16901.55      | 0.00%             | 2046-07-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A      | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72144 | PA      | $46888.98      | 0.00%             | 2036-01-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                  | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5           | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      16277 | PA      | $15481.18      | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2396                                                    | FREDDIE MAC FHR 2396 FM                                | CUSIP: 31339LJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        620 | PA      | $619.70        | 0.00%             | 2031-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                               | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B           | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300312 | PA      | $127959.10     | 0.01%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-160997.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $15802.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-NC1                                   | SECURITIZED ASSET BACKED RECEI SABR 2006 NC1 A3        | CUSIP: 81375HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90365 | PA      | $82990.71      | 0.00%             | 2036-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-129272.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $11685.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                       | BGC GROUP INC SR UNSECURED 144A 04/30 6.15             | CUSIP: 05555LAC5<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4056904.20    | 0.24%             | 2030-04-02      | Fixed         | 6.15%                 | 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        |    7709584 | PA      | $6471481.24    | 0.38%             | 2047-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-6556.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT AUD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $97549.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                  | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1         | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83642 | PA      | $83563.31      | 0.00%             | 2036-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A        | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52133 | PA      | $44083.76      | 0.00%             | 2037-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008947 G2 08/26 FLOATING VAR              | CUSIP: 36202K5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $233.52        | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-23086.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5429.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                     | ROLLS ROYCE PLC COMPANY GUAR REGS 05/28 1.625          | CUSIP: ACI12HZ39<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $115042.23     | 0.01%             | 2028-05-09      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                    | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR       | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6006919.32    | 0.35%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                              | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1          | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46561 | PA      | $44641.02      | 0.00%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ1                                        | PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M5            | CUSIP: 70069FGE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114585 | PA      | $112902.48     | 0.01%             | 2035-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                       | SIXTH STREET LENDING PAR SR UNSECURED 144A 07/30 6.125 | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1528184.96    | 0.09%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-2N                                      | LEHMAN XS TRUST LXS 2007 2N 3A3                        | CUSIP: 52524LAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     776167 | PA      | $589402.60     | 0.03%             | 2037-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                           | HA SUSTAINABLE INF CAP COMPANY GUAR 07/34 6.375        | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3202127.20    | 0.19%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-SP1                                            | NEW YORK MORTGAGE TRUST NYMT 2022 SP1 A1 144A          | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3574871 | PA      | $3573444.40    | 0.21%             | 2062-07-25      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $35.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-213363.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                        | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 06/31 3.363   | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2490109.38    | 0.15%             | 2031-06-30      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2004-AR4                              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR4 2A1A      | CUSIP: 45660LEG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12761 | PA      | $12651.97      | 0.00%             | 2035-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PROGRAM LOAN TRUST-1987-A                                 | COMMUNITY PROGRAM LOAN TRUST CPLT 1987 A A5            | CUSIP: 204012AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        736 | PA      | $736.34        | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                        | DELOITTE LLP SR UNSEC B                                | CUSIP: 955GGZII8<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1813934.41    | 0.11%             | 2032-01-30      | Fixed         | 5.41%                 | Yes           |                  3 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                      | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2       | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8524 | PA      | $8301.73       | 0.00%             | 2029-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                                            | TESCO PROPERTY FIN 4 PLC SR SECURED REGS 10/40 5.8006  | CUSIP: B3LSHBII8<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |     617578 | PA      | $850040.71     | 0.05%             | 2040-10-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  236322000 | PA      | $200815063.79  | 11.77%            | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080291 G2 06/29 FLOATING VAR              | CUSIP: 36225CKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1777 | PA      | $1773.71       | 0.00%             | 2029-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 2A1A      | CUSIP: 12667GWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66915 | PA      | $61500.60      | 0.00%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A     | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     598356 | PA      | $394733.14     | 0.02%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3       | CUSIP: 86363NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     606978 | PA      | $535746.62     | 0.03%             | 2047-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                      | COUNTRYWIDE HOME LOANS CWHL 2007 10 A2                 | CUSIP: 12545CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225965 | PA      | $90504.54      | 0.01%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                    | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1             | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31256 | PA      | $24551.85      | 0.00%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                          | LCM LTD PARTNERSHIP LCM 36A A1R 144A                   | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1993309.38    | 0.12%             | 2034-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM1 TRUST                                                 | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM1 A1 144A         | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2351933 | PA      | $2350891.86    | 0.14%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                              | FIRST NLC TRUST FNLC 2005 1 A                          | CUSIP: 32113JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     576998 | PA      | $514374.44     | 0.03%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                            | AMERICAN HOMES 4 RENT SR UNSECURED 03/35 5.25          | CUSIP: 02666TAJ6<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2979501.00    | 0.17%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080030 G2 01/27 FLOATING VAR              | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        158 | PA      | $157.56        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $961.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1324.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2105                                                    | FREDDIE MAC FHR 2105 PE                                | CUSIP: 3133TH4W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30266 | PA      | $30745.81      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP INC                                                      | WEIR GROUP INC COMPANY GUAR 144A 05/30 5.35            | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2231544.08    | 0.13%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                     | BEAR STEARNS ALT A TRUST BALTA 2006 1 22A1             | CUSIP: 07386HC25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16175 | PA      | $13702.39      | 0.00%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                     | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20746 | PA      | $21002.36      | 0.00%             | 2034-09-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                      | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199133 | PA      | $90861.13      | 0.01%             | 2037-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.28063 12/02/24-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1129086.97    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3147.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A     | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1006979 | PA      | $895078.73     | 0.05%             | 2047-11-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                  | ENERGY TRANSFER LP ENERGY TRANSFER LP                  | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6096700.08    | 0.36%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                 | ANTARES HOLDINGS SR UNSECURED 144A 10/29 6.35          | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4345978.70    | 0.25%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080406 G2 05/30 FLOATING VAR              | CUSIP: 36225CNY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1652 | PA      | $1648.73       | 0.00%             | 2030-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2  | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A2C       | CUSIP: 84752EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105697 | PA      | $77785.99      | 0.00%             | 2037-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                      | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A2                | CUSIP: 12669GKG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132832 | PA      | $123783.12     | 0.01%             | 2035-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CITADEL LIMITED PARTNERSHIP                                         | CITADEL LP SR UNSECURED 144A 01/32 6.375               | CUSIP: 17288XAC8<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2820903.35    | 0.17%             | 2032-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR3                                   | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR3 2A2             | CUSIP: 23332UDX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2833 | PA      | $97.11         | 0.00%             | 2045-07-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                          | AIR CANADA SR SECURED 144A 08/29 4.625                 | CUSIP: 008911BJ7<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |     900000 | PA      | $655336.15     | 0.04%             | 2029-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-21264.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $320.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1       | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47667 | PA      | $38725.58      | 0.00%             | 2037-06-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                  | BANCO SANTANDER SA 01/35 6.033                         | CUSIP: 05964HBK0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3200000 | PA      | $3372827.01    | 0.20%             | 2035-01-17      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3       | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2918741 | PA      | $2825959.88    | 0.17%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A2      | CUSIP: 86360KAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     383051 | PA      | $313976.11     | 0.02%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A7       | CUSIP: 12668BLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141960 | PA      | $63912.71      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                     | AES CORP/THE SR UNSECURED 03/32 5.8                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5079140.50    | 0.30%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE5                                | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE5 M4       | CUSIP: 04541GSL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50963 | PA      | $50080.84      | 0.00%             | 2035-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1007.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-191137.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20250710                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $18208.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 3A2A      | CUSIP: 12668ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3745518 | PA      | $3357606.07    | 0.20%             | 2035-11-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                    | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 3A2             | CUSIP: 46629DBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6358 | PA      | $5367.81       | 0.00%             | 2037-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 1A          | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3518483 | PA      | $3324440.88    | 0.19%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2010-5RA                              | NOMURA RESECURITIZATION TRUST NMRR 2010 5RA 1A7 144A   | CUSIP: 65539GBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4331054 | PA      | $1788062.03    | 0.10%             | 2037-10-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A2         | CUSIP: 05950PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29674 | PA      | $26759.86      | 0.00%             | 2046-09-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                    | VOYA CLO LTD VOYA 2017 3A A1RR 144A                    | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7100000 | PA      | $7073488.96    | 0.41%             | 2034-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| KBC GROEP NV                                                        | KBC GROUP NV SR UNSECURED 144A 09/34 VAR               | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    3000000 | PA      | $3215909.70    | 0.19%             | 2034-09-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 3A1       | CUSIP: 617487AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210761 | PA      | $78010.75      | 0.00%             | 2036-11-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER COMPANY                                           | APPALACHIAN POWER CO APPALACHIAN POWER CO              | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1956281.78    | 0.11%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95         | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     700000 | PA      | $564900.67     | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                        | ACE SECURITIES CORP. ACE 2006 CW1 A2C                  | CUSIP: 00441QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90517 | PA      | $73468.53      | 0.00%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | CAN 10YR BOND FUT SEP25 XMOD 20250918                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        384 | NC      | $297599.65     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                     | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 A         | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77890 | PA      | $76259.94      | 0.00%             | 2033-08-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1       | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275114 | PA      | $191244.00     | 0.01%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                 | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11A4      | CUSIP: 161630BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28869 | PA      | $26891.27      | 0.00%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                  | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A   | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3700000 | PA      | $3688896.30    | 0.22%             | 2035-04-23      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3           | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A10                | CUSIP: 17025QAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49456 | PA      | $20975.71      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF16                               | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF16 2A3       | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198421 | PA      | $80451.99      | 0.00%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                | GSAMP TRUST GSAMP 2006 FM2 A2C                         | CUSIP: 36245DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2606483 | PA      | $900053.17     | 0.05%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 847040 FH 02/29 FLOATING VAR         | CUSIP: 3128HDZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.74          | 0.00%             | 2029-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $6672.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2018-GW 2018-GW                                            | BX TRUST BX 2018 GW A 144A                             | CUSIP: 12433UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3992642.40    | 0.23%             | 2035-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A10        | CUSIP: 05949CGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122894 | PA      | $108631.13     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-8456.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-9.24         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-21382.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                              | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG      | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $168000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250708                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1437.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11       | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1     | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123585 | PA      | $60993.94      | 0.00%             | 2036-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                            | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                 | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185648 | PA      | $159321.84     | 0.01%             | 2037-03-27      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                 | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A1     | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4187 | PA      | $4163.11       | 0.00%             | 2036-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 9CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 9CB 1A5      | CUSIP: 12667GEP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     969364 | PA      | $857489.50     | 0.05%             | 2035-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                            | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 A3         | CUSIP: 86358EZP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40696 | PA      | $40135.19      | 0.00%             | 2036-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF3         | CUSIP: 759950GV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9549602 | PA      | $4144259.14    | 0.24%             | 2036-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                  | ESSEX PORTFOLIO LP ESSEX PORTFOLIO LP                  | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5110223.70    | 0.30%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC      | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3895708.00    | 0.23%             | 2034-03-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                     | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1              | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64491 | PA      | $29446.52      | 0.00%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3      | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20000 | PA      | $18011.46      | 0.00%             | 2035-07-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $33194.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                              | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A3        | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1010746.20    | 0.06%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5               | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18161 | PA      | $16475.78      | 0.00%             | 2035-09-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-B                              | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 B M1         | CUSIP: 64352VES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     619881 | PA      | $617749.03     | 0.04%             | 2033-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                              | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A2C        | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27104085 | PA      | $5627613.01    | 0.33%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                  | ENERGY TRANSFER LP SR UNSECURED 04/55 6.2              | CUSIP: 29273VBF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3941042.64    | 0.23%             | 2055-04-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  235100000 | PA      | $199776666.99  | 11.71%            | 2054-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-9.72         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                        | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A2 144A   | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116920 | PA      | $77740.13      | 0.00%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                              | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A19       | CUSIP: 18976GAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62186 | PA      | $56198.30      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                              | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 1A1A      | CUSIP: 25151XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150390 | PA      | $138278.50     | 0.01%             | 2047-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                              | DIAMONDBACK ENERGY INC COMPANY GUAR 04/35 5.55         | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2629401.42    | 0.15%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $8675.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                  | BANCO SANTANDER SA BANCO SANTANDER SA                  | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    6800000 | PA      | $7013737.12    | 0.41%             | 2030-03-14      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                 | ANTARES HOLDINGS SR UNSECURED 144A 08/28 7.95          | CUSIP: 03666HAF8<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    7550000 | PA      | $7977775.90    | 0.47%             | 2028-08-11      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                       | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     718349 | PA      | $230904.92     | 0.01%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                              | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A7        | CUSIP: 18976GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3651729 | PA      | $3202006.93    | 0.19%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48100000 | PA      | $48057054.40   | 2.82%             | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                 | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1         | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97519 | PA      | $29435.68      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2006-BC4                             | STRUCTURED ASSET SECURITIES CO SASC 2006 BC4 A4        | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31077 | PA      | $30355.11      | 0.00%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP2                                        | ACE SECURITIES CORP. ACE 2006 OP2 A1                   | CUSIP: 00441YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178934 | PA      | $173764.17     | 0.01%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                        | LEHMAN MORTGAGE TRUST LMT 2005 2 4A1                   | CUSIP: 52520MCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171650 | PA      | $26108.72      | 0.00%             | 2035-12-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                    | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2A1A             | CUSIP: 1266943Y2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23335 | PA      | $21686.61      | 0.00%             | 2036-05-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1060.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-352.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3           | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A9                 | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112790 | PA      | $47836.89      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7          | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4718414.88    | 0.28%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A      | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1502820 | PA      | $1499164.36    | 0.09%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                               | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C           | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300312 | PA      | $127970.30     | 0.01%             | 2037-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BACARDI LIMITED                                                     | BACARDI LTD COMPANY GUAR 144A 05/28 4.7                | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $1003825.46    | 0.06%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A       | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8573534 | PA      | $7319223.80    | 0.43%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-8272.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS SEC INC 2004-HE2                                   | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE2 M1       | CUSIP: 07384YQY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1402729 | PA      | $1469705.37    | 0.09%             | 2034-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5             | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1        | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87806 | PA      | $65287.14      | 0.00%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 789848 FH 10/32 FLOATING VAR         | CUSIP: 31295N5H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2248 | PA      | $2298.46       | 0.00%             | 2032-10-01      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-155.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1         | CUSIP: 05946XRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39702 | PA      | $36872.92      | 0.00%             | 2035-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                            | F+G ANNUITIES + LIFE INC F+G ANNUITIES + LIFE INC      | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2682291.64    | 0.16%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/35 6            | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2023293.20    | 0.12%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-8530.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11174.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-18R                | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 18R 4A4 144A    | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99840 | PA      | $97664.04      | 0.01%             | 2038-04-26      | Floating      | 3.50%                 | 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        |     176658 | PA      | $163034.23     | 0.01%             | 2037-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                               | WELLS FARGO + COMPANY SR UNSECURED 03/33 VAR           | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6394695.72    | 0.37%             | 2033-03-02      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                   | CAPITAL ONE FINANCIAL CO CAPITAL ONE FINANCIAL CO      | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5650618.35    | 0.33%             | 2031-10-30      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                             | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375  | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     358000 | PA      | $354754.06     | 0.02%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORPORATION                                             | BLACK HILLS CORP BLACK HILLS CORP                      | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4255380.98    | 0.25%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2011-2                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2011 2 3A2 144A    | CUSIP: 17318DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9078 | PA      | $9056.09       | 0.00%             | 2037-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                  | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A3        | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11868 | PA      | $11810.64      | 0.00%             | 2037-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-816694.02    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                               | VALE OVERSEAS LIMITED COMPANY GUAR 06/54 6.4           | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    3000000 | PA      | $2951306.70    | 0.17%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  140000000 | PA      | $133866194.00  | 7.85%             | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.55800 08/21/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $89433.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A1     | CUSIP: 94984MAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108561 | PA      | $100416.10     | 0.01%             | 2036-10-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $22004.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                | GSAMP TRUST GSAMP 2006 NC2 A2D                         | CUSIP: 362463AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175486 | PA      | $96728.15      | 0.01%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-10.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20250917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $43507.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                 | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 13A1      | CUSIP: 161630CF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14739 | PA      | $13764.92      | 0.00%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008747 G2 11/25 FLOATING VAR              | CUSIP: 36202KWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $56.80         | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3079.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                    | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21            | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207986 | PA      | $139893.49     | 0.01%             | 2036-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3      | CUSIP: 02147CAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17598 | PA      | $18787.67      | 0.00%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                              | CHASEFLEX TRUST CFLX 2007 3 1A1                        | CUSIP: 16165AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67128 | PA      | $21712.94      | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC2                             | SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3        | CUSIP: 84751PFW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40310 | PA      | $40064.82      | 0.00%             | 2035-12-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS AUD 4.50000 02/15/29-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $384642.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/26 6.95       | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4544035.34    | 0.27%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-IM3                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 IM3 A3         | CUSIP: 126670JD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262182 | PA      | $273974.00     | 0.02%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                   | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 2A2      | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14785 | PA      | $10713.82      | 0.00%             | 2037-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11     | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43246 | PA      | $24637.28      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-97937.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 7A5         | CUSIP: 059522AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23059 | PA      | $21444.40      | 0.00%             | 2047-05-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL ZN4041 FR 03/49 FIXED 4              | CUSIP: 3131YAP20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11172 | PA      | $10516.09      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL Q52104 FG 11/47 FIXED 4              | CUSIP: 3132XUKS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6417 | PA      | $6086.73       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                          | MONDELEZ INTERNATIONAL SR UNSECURED 07/31 4.625        | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3805628.82    | 0.22%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1560.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                     | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A2             | CUSIP: 07386HB83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152713 | PA      | $109647.84     | 0.01%             | 2036-02-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                 | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32      | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160536 | PA      | $156608.28     | 0.01%             | 2046-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                       | CITIGROUP INC SR UNSECURED 03/33 VAR                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4675464.45    | 0.27%             | 2033-03-17      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-24846.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-200521.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $484.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR8                              | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR8 8M1       | CUSIP: 22541SXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11474 | PA      | $21282.47      | 0.00%             | 2034-09-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                      | EPH FIN INTERNATIONAL AS EPH FIN INTERNATIONAL AS      | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |    6000000 | PA      | $7675229.30    | 0.45%             | 2028-11-13      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                             | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1       | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66351 | PA      | $59826.04      | 0.00%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                    | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A11            | CUSIP: 466247ZY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93787 | PA      | $42280.95      | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                             | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1        | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163853 | PA      | $115464.76     | 0.01%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                              | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A         | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5292977.92    | 0.31%             | 2034-10-19      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                 | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M2            | CUSIP: 70069FLH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1519 | PA      | $1518.54       | 0.00%             | 2035-07-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-6                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 6 3A1         | CUSIP: 86364CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3053 | PA      | $1918.25       | 0.00%             | 2037-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1      | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264052 | PA      | $70555.50      | 0.00%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-3                                    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 3 1CB3       | CUSIP: 9393365A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175257 | PA      | $147606.96     | 0.01%             | 2035-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT NOK SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $597.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1096.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 20060BNC1                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC1 A4       | CUSIP: 86358EC87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28962 | PA      | $28723.10      | 0.00%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A2      | CUSIP: 939355BR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197631 | PA      | $161311.70     | 0.01%             | 2047-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21        | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55634 | PA      | $39151.60      | 0.00%             | 2035-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY               | PENNSYLVANIA ST ECON DEV FING PASDEV 06/39 FIXED 6.532 | CUSIP: 70869PFT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     600000 | PA      | $641751.72     | 0.04%             | 2039-06-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                          | ONTARIO (PROVINCE OF) SR UNSECURED 12/34 3.8           | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    8000000 | PA      | $5872107.92    | 0.34%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                 | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3            | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142295 | PA      | $140697.32     | 0.01%             | 2034-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FINANCE 3 PLC                                        | TESCO PROPERTY FIN 3 PLC SR SECURED REGS 04/40 5.744   | CUSIP: 989XYDII0<br>LEI: 213800HCQGDQGFP75D78 | Long             | DBT              | CORP              | GB        |     173537 | PA      | $238072.51     | 0.01%             | 2040-04-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                             | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A       | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168685 | PA      | $148800.11     | 0.01%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080180 G2 03/28 FLOATING VAR              | CUSIP: 36225CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2590 | PA      | $2594.06       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3714.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1          | ACE SECURITIES CORP. ACE 2006 HE1 A2D                  | CUSIP: 004421WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6535 | PA      | $6494.65       | 0.00%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                 | QUANTA SERVICES INC SR UNSECURED 08/34 5.25            | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2734781.64    | 0.16%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MACH 1 CAYMAN LTD 2019-1                                            | MACH I MAACH 2019 1 A 144A                             | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     726518 | PA      | $707276.36     | 0.04%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008781 G2 01/26 FLOATING VAR              | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $67.35         | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1       | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39359 | PA      | $36594.93      | 0.00%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                | GSAMP TRUST GSAMP 2007 FM1 A1                          | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6174684 | PA      | $3294763.31    | 0.19%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 16 A3        | CUSIP: 12667GME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59838 | PA      | $57136.99      | 0.00%             | 2035-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH7                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH7 1A1       | CUSIP: 75115LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103071 | PA      | $98817.35      | 0.01%             | 2037-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 04/28 1.25                             | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53469500 | PA      | $53379326.90   | 3.13%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 07/25 0.00000                            | CUSIP: 912797NX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     192000 | PA      | $191955.35     | 0.01%             | 2025-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.59500 08/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $73413.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                      | COUNTRYWIDE HOME LOANS CWHL 2004 12 3A1                | CUSIP: 12669FM26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1402612 | PA      | $1378159.76    | 0.08%             | 2034-08-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                    | FREDDIE MAC FHR 2248 FB                                | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $530.26        | 0.00%             | 2030-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                             | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3       | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8051 | PA      | $8004.08       | 0.00%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 2A7        | CUSIP: 05949A4R8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178426 | PA      | $159787.70     | 0.01%             | 2035-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ABS SER 2004-1                              | WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A          | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72493 | PA      | $71884.89      | 0.00%             | 2034-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                           | REALTY INCOME CORP SR UNSECURED 04/35 5.125            | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2003357.04    | 0.12%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                               | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3            | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139734 | PA      | $69485.47      | 0.00%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11811.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                             | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3       | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909759 | PA      | $807990.52     | 0.05%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                 | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A        | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    7620746 | PA      | $8973497.39    | 0.53%             | 2033-04-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3146.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                    | NEW YORK NY NYC 02/55 FIXED 6.385                      | CUSIP: 64966SNJ1<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    2220000 | PA      | $2310228.79    | 0.14%             | 2055-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2246                                                    | FREDDIE MAC FHR 2246 Z                                 | CUSIP: 3133TPLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7853 | PA      | $8191.98       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4435.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2006-BC2                             | STRUCTURED ASSET SECURITIES CO SASC 2006 BC2 A3        | CUSIP: 86361GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27673 | PA      | $26754.83      | 0.00%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1       | CUSIP: 12667GCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571769 | PA      | $534933.24     | 0.03%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1       | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420703 | PA      | $387466.91     | 0.02%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1         | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285332 | PA      | $268828.88     | 0.02%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS4                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS4 A8        | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57722 | PA      | $48859.40      | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                               | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C           | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314093 | PA      | $271916.95     | 0.02%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250709                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3130.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AASET-2025-2A                                                       | APOLLO AVIATION SECURITIZATION AASET 2025 2A A 144A    | CUSIP: 00039NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4538344.23    | 0.27%             | 2050-02-16      | Fixed         | 5.52%                 | No            |                  3 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-AA ASSET-BACKED NOTES | FORD AUTO SECURITIZATION TRUST FASTR 2024 A A3 REGS    | CUSIP: 345214BL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2400000 | PA      | $1829798.69    | 0.11%             | 2030-03-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250718                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-12538.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A3A        | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63521 | PA      | $56222.00      | 0.00%             | 2046-10-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                 | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A12      | CUSIP: 16163HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94919 | PA      | $40521.93      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MUNDYS SPA                                                          | MUNDYS SPA SR UNSECURED REGS 02/28 1.875               | CUSIP: ACI1VSC04<br>LEI: 8156008DEC771409C487 | Long             | DBT              | CORP              | IT        |     400000 | PA      | $455717.88     | 0.03%             | 2028-02-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                        | ACE SECURITIES CORP. ACE 2006 NC1 M1                   | CUSIP: 004421UU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441833 | PA      | $1367271.00    | 0.08%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-116588.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6426.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A1 144A  | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1645009 | PA      | $938691.81     | 0.06%             | 2037-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1      | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29761 | PA      | $27480.03      | 0.00%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SEK SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-24.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                  | FORESEA HLDG S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |         62 | NS      | $1271.00       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 789837 FH 08/32 FLOATING VAR         | CUSIP: 31295N4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11464 | PA      | $11500.33      | 0.00%             | 2032-08-01      | Floating      | 4.96%                 | 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        |    7100000 | PA      | $7109906.13    | 0.42%             | 2034-08-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL RJ0138 FR 12/53 FIXED 5.5            | CUSIP: 3142GQEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1275163 | PA      | $1276263.90    | 0.07%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-5936.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA1B        | CUSIP: 059515AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     333936 | PA      | $290412.33     | 0.02%             | 2037-04-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                   | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A4 144A     | CUSIP: 57643QBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588913 | PA      | $414241.02     | 0.02%             | 2035-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| PPL CAPITAL FUNDING                                                 | PPL CAPITAL FUNDING INC PPL CAPITAL FUNDING INC        | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2925341.74    | 0.17%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                       | CITIGROUP INC SR UNSECURED 11/33 VAR                   | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10771328.20   | 0.63%             | 2033-11-17      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC                                                        | BARCLAYS PLC SR UNSECURED 11/33 VAR                    | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1362382.21    | 0.08%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                    | AEGIS ASSET BACKED SECURITIES AABST 2004 6 M2          | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26138 | PA      | $24904.44      | 0.00%             | 2035-03-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5          | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1251176.75    | 0.07%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-6                                      | LUMINENT MORTGAGE TRUST LUM 2006 6 A1                  | CUSIP: 55027YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87616 | PA      | $79976.98      | 0.00%             | 2046-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                               | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2B       | CUSIP: 81376YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181587 | PA      | $59634.59      | 0.00%             | 2036-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $127.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A      | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4469558 | PA      | $3508813.66    | 0.21%             | 2036-12-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008709 G2 10/25 FLOATING VAR              | CUSIP: 36202KVA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $68.74         | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20250710                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $207789.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                               | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP          | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67207 | PA      | $29327.46      | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | 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        |     101484 | PA      | $96483.26      | 0.01%             | 2036-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TRY BOUGHT USD 20250717                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-556.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1       | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     533445 | PA      | $496174.64     | 0.03%             | 2035-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                              | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A3          | CUSIP: 65106FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601058 | PA      | $596559.46     | 0.03%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                        | LEHMAN MORTGAGE TRUST LMT 2005 3 4A1                   | CUSIP: 52520MEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34758 | PA      | $33527.31      | 0.00%             | 2036-01-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 08/25 0.00000                            | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     697000 | PA      | $693337.94     | 0.04%             | 2025-08-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-38047.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-11CB                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 11CB 3A1     | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230898 | PA      | $558574.40     | 0.03%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                                  | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1        | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80049 | PA      | $31419.32      | 0.00%             | 2037-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2005-10                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 10 1A2A       | CUSIP: 17307GT57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57411 | PA      | $35440.21      | 0.00%             | 2035-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2023-5                                         | PAGAYA AI DEBT SELECTION TRUST PAID 2023 5 C 144A      | CUSIP: 69546PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     380540 | PA      | $382143.14     | 0.02%             | 2031-04-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                  | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1             | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7706 | PA      | $7132.34       | 0.00%             | 2029-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                             | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1          | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140849 | PA      | $132481.92     | 0.01%             | 2035-12-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.41000 09/05/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $159392.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-3                             | THORNBURG MORTGAGE SECURITIES TMST 2004 3 A            | CUSIP: 885220FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10396 | PA      | $9763.64       | 0.00%             | 2034-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                    | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1             | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37786 | PA      | $37783.93      | 0.00%             | 2035-07-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $464.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                             | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2        | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338364 | PA      | $83493.30      | 0.00%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2009-R3                                | MORGAN STANLEY REREMIC TRUST MSRR 2009 R3 1B 144A      | CUSIP: 61758NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4836041 | PA      | $3021129.31    | 0.18%             | 2035-10-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR2                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR2 A1        | CUSIP: 86358HTY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70652 | PA      | $69155.71      | 0.00%             | 2033-12-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080168 G2 02/28 FLOATING VAR              | CUSIP: 36225CFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2162 | PA      | $2158.23       | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                       | COUNTRYWIDE HOME LOANS CWHL 2005 7 2A1                 | CUSIP: 12669GNP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120471 | PA      | $107677.70     | 0.01%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                            | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                 | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13881 | PA      | $12308.52      | 0.00%             | 2036-07-26      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                   | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2        | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15869 | PA      | $14511.11      | 0.00%             | 2035-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                     | LAVENDER TRUST LTS 2010 RR2A A4 144A                   | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205662 | PA      | $93228.92      | 0.01%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                               | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A11       | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3749 | PA      | $3277.68       | 0.00%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                             | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A     | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1198417.08    | 0.07%             | 2038-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080045 G2 02/27 FLOATING VAR              | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        703 | PA      | $701.87        | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-6                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 6 A1A        | CUSIP: 41161PPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22156 | PA      | $18767.37      | 0.00%             | 2045-07-19      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A3        | CUSIP: 76113XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122027 | PA      | $42585.94      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                     | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1             | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24618 | PA      | $23519.48      | 0.00%             | 2035-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                 | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5       | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68986 | PA      | $68294.17      | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION INSURANCE INC                                         | CONSTELLATION INSURC INC SR UNSECURED 144A 01/30 6.8   | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6267944.66    | 0.37%             | 2030-01-24      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP1                                                | RAAC SERIES RAAC 2006 SP1 M1                           | CUSIP: 76112B3F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     520556 | PA      | $512599.66     | 0.03%             | 2045-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                  | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6        | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169445 | PA      | $166804.17     | 0.01%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4       | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258080 | PA      | $253186.64     | 0.01%             | 2035-06-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BOWDOIN COLLEGE                                                     | BOWDOIN COLLEGE SR UNSECURED 07/12 4.693               | CUSIP: 102291AA9<br>LEI: 549300SIUVRUY51G1940 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $5192330.68    | 0.30%             | 2112-07-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                        | ACE SECURITIES CORP. ACE 2006 NC3 A2B                  | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282178 | PA      | $70653.68      | 0.00%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                               | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 A4            | CUSIP: 617451DR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369201 | PA      | $358681.71     | 0.02%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                              | SAMMONS FINANCIAL GLOBAL SECURED 144A 12/29 5.1        | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2555141.68    | 0.15%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                  | ALLY FINANCIAL INC ALLY FINANCIAL INC                  | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3802332.78    | 0.22%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP / JSG FINANCE INC                                 | JANE STREET GRP/JSG FIN JANE STREET GRP/JSG FIN        | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2105764.00    | 0.12%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 6A1         | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66608 | PA      | $34454.56      | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | MEXICO LA SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2203.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3130.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                              | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A    | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1542005 | PA      | $1552086.03    | 0.09%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                               | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2D       | CUSIP: 81376YAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608761 | PA      | $199902.74     | 0.01%             | 2036-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 1A3      | CUSIP: 74924VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210471 | PA      | $196937.49     | 0.01%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                  | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A1         | CUSIP: 94985JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20448 | PA      | $19043.08      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6643 | PA      | $6364.50       | 0.00%             | 2042-11-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2                 | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD2 M3       | CUSIP: 07388EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $614723.28     | 0.04%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                             | BCAP LLC TRUST BCAP 2007 AA3 2A1B                      | CUSIP: 05530VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24095 | PA      | $21900.91      | 0.00%             | 2047-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                      | FREMONT HOME LOAN TRUST FHLT 2006 2 2A4                | CUSIP: 35729PPY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $271969.89     | 0.02%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES LP                                               | COUSINS PROPERTIES LP COMPANY GUAR 02/32 5.375         | CUSIP: 222793AB7<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2427102.91    | 0.14%             | 2032-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-9N                                             | LEHMAN XS TRUST LXS 2005 9N 1A1                        | CUSIP: 525221GM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3309454 | PA      | $3074298.79    | 0.18%             | 2036-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC      | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1008260.06    | 0.06%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT EUR SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1874531.90    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CHF SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $40959.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                      | COUNTRYWIDE HOME LOANS CWHL 2004 12 10A1               | CUSIP: 12669FN41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13177 | PA      | $12302.69      | 0.00%             | 2034-08-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-127862.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-58316.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR7                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR7 4A1       | CUSIP: 45660LLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15190 | PA      | $14433.67      | 0.00%             | 2035-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 5YR NOTE (CBT) SEP25 XCBT 20250930                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       8317 | NC      | $9614759.43    | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A1 144A  | CUSIP: 17312GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9985807 | PA      | $8798022.05    | 0.52%             | 2037-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 2YR NOTE (CBT) SEP25 XCBT 20250930                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       2330 | NC      | $1802869.16    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                      | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A3                | CUSIP: 12669GKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156742 | PA      | $145702.82     | 0.01%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                              | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M3          | CUSIP: 00252FCV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47605 | PA      | $47216.73      | 0.00%             | 2035-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR EUR ESTRON/2.06280 11/14/24-5Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5389.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                   | MARS INC SR UNSECURED 144A 05/45 5.65                  | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2507511.05    | 0.15%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SEK BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-419.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2               | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC2 22A2     | CUSIP: 07387UGW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182812 | PA      | $56893.06      | 0.00%             | 2036-03-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M1           | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19399 | PA      | $19232.26      | 0.00%             | 2034-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-8                                   | VERUS SECURITIZATION TRUST VERUS 2021 8 A1 144A        | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2941830 | PA      | $2691644.49    | 0.16%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008880 G2 06/26 FLOATING VAR              | CUSIP: 36202K2M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $226.44        | 0.00%             | 2026-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-812.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A3          | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21636 | PA      | $21499.68      | 0.00%             | 2047-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                       | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A   | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1087341 | PA      | $1082031.03    | 0.06%             | 2051-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-12574.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8 2020-8A                                          | OCEAN TRAILS CLO OCTR 2020 8A ARR                      | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4800000 | PA      | $4805571.07    | 0.28%             | 2034-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                             | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR             | CUSIP: 808513AR6<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |    4200000 | NS      | $4117890.00    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                 | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81           | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    3100000 | PA      | $2846112.20    | 0.17%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3A                                                | EUROSAIL PLC ESAIL 2007 3A A3C 144A                    | CUSIP: 29880YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     236291 | PA      | $324270.49     | 0.02%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080170 G2 02/28 FLOATING VAR              | CUSIP: 36225CFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1058 | PA      | $1057.80       | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-35240.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-SP3                                                | RAAC SERIES RAAC 2007 SP3 A2                           | CUSIP: 74978FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401025 | PA      | $398113.52     | 0.02%             | 2047-09-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A      | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19991 | PA      | $17554.65      | 0.00%             | 2038-01-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                     | ROLLS ROYCE PLC COMPANY GUAR REGS 10/27 5.75           | CUSIP: ACI1S61G3<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $281699.15     | 0.02%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                  | AMERICAN TOWER CORP SR UNSECURED 01/51 2.95            | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $950890.02     | 0.06%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $305.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-3                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 3 M3         | CUSIP: 68389FHU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237681 | PA      | $231928.41     | 0.01%             | 2035-08-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                    | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B             | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69346 | PA      | $64729.32      | 0.00%             | 2036-05-20      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT AUD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $7813.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                           | STELLANTIS FIN US INC COMPANY GUAR 144A 03/35 6.45     | CUSIP: 85855CAL4<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8344084.70    | 0.49%             | 2035-03-18      | Fixed         | 6.45%                 | 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        |     108386 | PA      | $95782.07      | 0.01%             | 2037-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2     | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177645 | PA      | $169926.63     | 0.01%             | 2034-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A       | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189114 | PA      | $175667.25     | 0.01%             | 2036-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-62298.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                              | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A  | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7242 | PA      | $4765.37       | 0.00%             | 2037-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11524.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                    | BEAR STEARNS ALT A TRUST BALTA 2005 10 23A1            | CUSIP: 07386HZG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1647473 | PA      | $1525830.51    | 0.09%             | 2036-01-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                  | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5           | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      11137 | PA      | $10592.48      | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-75.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-184748.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF11                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF11 M4        | CUSIP: 32027NNA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43360 | PA      | $43444.66      | 0.00%             | 2035-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                          | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244        | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1969603.22    | 0.12%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-985.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $5373.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A5CB                               | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A5CB A6       | CUSIP: 76112FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166643 | PA      | $63413.71      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                        | BARCLAYS PLC SR UNSECURED 05/34 VAR                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2123477.14    | 0.12%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                | GSAMP TRUST GSAMP 2007 NC1 A2C                         | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419972 | PA      | $207565.27     | 0.01%             | 2046-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A2A      | CUSIP: 17311WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32793 | PA      | $28722.44      | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                   | CI FINANCIAL CORP SR UNSECURED 06/51 4.1               | CUSIP: 125491AP5<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    5000000 | PA      | $3558150.55    | 0.21%             | 2051-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                             | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                  | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47779 | PA      | $39313.65      | 0.00%             | 2037-03-26      | Floating      | 4.77%                 | 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        |     151184 | PA      | $146952.34     | 0.01%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8244 FR 09/52 FIXED 4              | CUSIP: 3132DWER0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   65262981 | PA      | $60845512.42   | 3.57%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                               | ATHENE GLOBAL FUNDING SECURED 144A 01/30 5.38          | CUSIP: 04685A4G3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3069343.41    | 0.18%             | 2030-01-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7447.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO LTD 2020-14A                                           | TRINITAS CLO LTD TRNTS 2020 14A A1R 144A               | CUSIP: 89641QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16500000 | PA      | $16510231.82   | 0.97%             | 2034-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                               | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2B           | CUSIP: 61749BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543338 | PA      | $281536.27     | 0.02%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $4834.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $10590.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $667.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-4                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 4 M1           | CUSIP: 1266715K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9706 | PA      | $10102.14      | 0.00%             | 2034-07-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                   | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3        | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     777571 | PA      | $400853.74     | 0.02%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A  | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3406716.16    | 0.20%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-12                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 12 MV5         | CUSIP: 126673NX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59599 | PA      | $59484.67      | 0.00%             | 2035-02-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A          | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6006269 | PA      | $5465916.57    | 0.32%             | 2035-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                       | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    6000000 | NS      | $5827500.00    | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1415.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1        | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75916 | PA      | $68484.06      | 0.00%             | 2047-05-25      | Floating      | 4.25%                 | 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        |    2364389 | PA      | $2232394.04    | 0.13%             | 2036-12-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1B2     | CUSIP: 92922F5W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89119 | PA      | $83984.39      | 0.00%             | 2045-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1       | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210281 | PA      | $191525.54     | 0.01%             | 2036-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                  | CARVAL CLO LTD CARVL 2019 2A AR2 144A                  | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7249967 | PA      | $7255387.65    | 0.43%             | 2032-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1               | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83645 | PA      | $43638.25      | 0.00%             | 2035-11-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3      | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63217 | PA      | $56116.36      | 0.00%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                       | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A             | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1407219 | PA      | $1475744.99    | 0.09%             | 2041-10-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2      | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369833 | PA      | $99133.60      | 0.01%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                              | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A4          | CUSIP: 65106FAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4292000 | PA      | $3985107.41    | 0.23%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2        | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4495 | PA      | $4307.48       | 0.00%             | 2035-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                   | HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1600000 | PA      | $1462621.01    | 0.09%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                    | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4             | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $441388.75     | 0.03%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-7                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3          | CUSIP: 86359BRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142620 | PA      | $138337.05     | 0.01%             | 2034-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008987 G2 10/26 FLOATING VAR              | CUSIP: 36202K6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $154.08        | 0.00%             | 2026-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                      | ELECTRICITE DE FRANCE SA ELECTRICITE DE FRANCE SA      | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    5500000 | PA      | $5737744.21    | 0.34%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                           | FARM CREDIT BK OF TEXAS FARM CREDIT BK OF TEXAS        | CUSIP: 30767EAE9<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    2500000 | NS      | $2602350.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.28013 12/02/24-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $877682.64     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2022-FL12 LLC                                                   | BDS LTD BDS 2022 FL12 A 144A                           | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1514869 | PA      | $1516254.56    | 0.09%             | 2038-08-19      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                  | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1            | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12933 | PA      | $12746.51      | 0.00%             | 2036-02-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                     | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2        | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51631 | PA      | $47652.68      | 0.00%             | 2037-02-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                    | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A     | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1674810 | PA      | $1676298.18    | 0.10%             | 2037-02-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4398.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                               | ATHENE GLOBAL FUNDING SECURED 144A 07/31 5.526         | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5111622.75    | 0.30%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C00932 FG 03/30 FIXED 7              | CUSIP: 31292HA95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3098 | PA      | $3271.15       | 0.00%             | 2030-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                      | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A3         | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119221 | PA      | $31517.25      | 0.00%             | 2036-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-4098.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M5         | CUSIP: 36242DN66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21607 | PA      | $22811.94      | 0.00%             | 2035-03-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2B      | CUSIP: 41162DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23584 | PA      | $35656.95      | 0.00%             | 2038-01-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C25619 FG 04/29 FIXED 7              | CUSIP: 31293PG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $282.91        | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 257561 FN 12/28 FIXED 6.5                    | CUSIP: 31371PB66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        532 | PA      | $549.75        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | 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      | $-9172.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A2      | CUSIP: 02150JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217095 | PA      | $92718.69      | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                              | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M3         | CUSIP: 03072SK20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550366 | PA      | $551361.90     | 0.03%             | 2035-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                    | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 5A1              | CUSIP: 126694BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1803 | PA      | $1742.71       | 0.00%             | 2035-10-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORPORATION                                        | BLUE OWL CAPITAL CORP SR UNSECURED 06/28 2.875         | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $9039122.80    | 0.53%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | MEXICO LA SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2283.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR1                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR1 A3        | CUSIP: 17310UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1148902 | PA      | $1006067.27    | 0.06%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                  | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4         | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119987 | PA      | $41702.57      | 0.00%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                            | LEHMAN XS TRUST LXS 2006 16N A4A                       | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7008919 | PA      | $6177552.50    | 0.36%             | 2046-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE5                                  | MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A4         | CUSIP: 576455AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3330358 | PA      | $1969288.44    | 0.12%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080300 G2 07/29 FLOATING VAR              | CUSIP: 36225CKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1861 | PA      | $1862.80       | 0.00%             | 2029-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $843.07        | 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        |    1500000 | PA      | $180000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1      | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     692630 | PA      | $556395.90     | 0.03%             | 2047-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20250806                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3744.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A21     | CUSIP: 02150GAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111328 | PA      | $46202.56      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                | EUROSAIL PLC ESAIL 2007 3X A3A REGS                    | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     426867 | PA      | $585805.00     | 0.03%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4        | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376376 | PA      | $147713.97     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-196305.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2        | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188788 | PA      | $161128.16     | 0.01%             | 2036-02-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC2                                 | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC2 M1       | CUSIP: 46629FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94728 | PA      | $93610.75      | 0.01%             | 2036-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $68.54         | 0.00%             |  |  |  | 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        |    1883465 | PA      | $1907353.93    | 0.11%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5                            | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A5 1A1       | CUSIP: 466284AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2380882 | PA      | $2179636.73    | 0.13%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF1         | CUSIP: 75970HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7350427 | PA      | $2350737.88    | 0.14%             | 2037-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                         | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1494548 | PA      | $14552412.18   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| FS KKR CAPITAL CORP                                                 | FS KKR CAPITAL CORP SR UNSECURED 01/27 2.625           | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8633381.58    | 0.51%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                              | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A7       | CUSIP: 466286AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3097 | PA      | $3027.81       | 0.00%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                   | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11200000 | PA      | $11189967.26   | 0.66%             | 2034-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY7C                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY7C A1      | CUSIP: 02150VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285268 | PA      | $264592.22     | 0.02%             | 2037-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-18                                     | FANNIEMAE GRANTOR TRUST FNGT 2002 T18 A5               | CUSIP: 31392GFS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4919 | PA      | $4966.10       | 0.00%             | 2042-05-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15        | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4372267 | PA      | $4025072.66    | 0.24%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 2A1       | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     304614 | PA      | $283540.69     | 0.02%             | 2047-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A    | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106883 | PA      | $52203.20      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                    | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 3A3             | CUSIP: 46631JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53934 | PA      | $41644.84      | 0.00%             | 2037-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                               | CROWN CASTLE INC CROWN CASTLE INC                      | CUSIP: 22822VBG5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2973680.10    | 0.17%             | 2034-09-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $124187.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-199412.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WHITEHORSE XII LTD 12A                                              | WHITEHORSE LTD WITEH 2018 12A A 144A                   | CUSIP: 96525YAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2257405 | PA      | $2260823.12    | 0.13%             | 2031-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-29                                      | COUNTRYWIDE HOME LOANS CWHL 2005 29 A1                 | CUSIP: 126694TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56290 | PA      | $26610.65      | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008699 G2 09/25 FLOATING VAR              | CUSIP: 36202KUY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $20.92         | 0.00%             | 2025-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CITY OF NEWPORT BEACH CA                                            | NEWPORT BEACH CA COPS NPBCTF 07/40 FIXED 7.168         | CUSIP: 651779BZ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3455000 | PA      | $3853635.14    | 0.23%             | 2040-07-01      | Fixed         | 7.17%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-16                             | COUNTRYWIDE HOME LOANS CWHL 2006 16 2A1                | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524730 | PA      | $153768.53     | 0.01%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-4A                               | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A   | CUSIP: 16678RCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455919 | PA      | $440289.66     | 0.03%             | 2035-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-192328.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                              | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507   | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3715516 | PA      | $3892051.53    | 0.23%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                    | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A3             | CUSIP: 466247YP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22374 | PA      | $18376.81      | 0.00%             | 2035-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA5                                             | BCAP LLC TRUST BCAP 2007 AA5 A1                        | CUSIP: 05531AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46577 | PA      | $41415.43      | 0.00%             | 2047-09-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 A 144A   | CUSIP: 17312WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57562 | PA      | $56645.52      | 0.00%             | 2046-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                       | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                 | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5986 | PA      | $945.82        | 0.00%             | 2036-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 2A4      | CUSIP: 83611MPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2256830 | PA      | $2233551.90    | 0.13%             | 2036-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL FM9482 FN 11/51 FIXED VAR                    | CUSIP: 3140XDRC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43679798 | PA      | $37854308.20   | 2.22%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $230920.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2002-T6                                    | FANNIEMAE GRANTOR TRUST FNGT 2002 T6 A4                | CUSIP: 31392CYH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3916 | PA      | $3810.47       | 0.00%             | 2041-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                           | BANCO BILBAO VIZCAYA ARG BANCO BILBAO VIZCAYA ARG      | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    5000000 | PA      | $5215901.90    | 0.31%             | 2035-03-13      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                 | GSAMP TRUST GSAMP 2004 WF M2                           | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12172 | PA      | $12294.73      | 0.00%             | 2034-10-25      | Floating      | 6.08%                 | 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        |     479391 | PA      | $399271.18     | 0.02%             | 2036-09-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A1        | CUSIP: 05948XS93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55074 | PA      | $54598.00      | 0.00%             | 2034-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 1A         | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4391 | PA      | $4180.68       | 0.00%             | 2034-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-196007.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1       | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11088 | PA      | $10519.39      | 0.00%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-NC2                                | MASTR ASSET BACKED SECURITIES MABS 2005 NC2 A3         | CUSIP: 57643LMN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6578408 | PA      | $3714573.85    | 0.22%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M1        | CUSIP: 59020UC29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10091 | PA      | $10057.68      | 0.00%             | 2036-05-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $60.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6281.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                              | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3        | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278876 | PA      | $101705.00     | 0.01%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  188000000 | PA      | $184147793.52  | 10.79%            | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                              | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A        | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4905654.01    | 0.29%             | 2034-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A    | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48891 | PA      | $37805.77      | 0.00%             | 2047-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                  | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3         | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132298 | PA      | $48505.86      | 0.00%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1930.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE P/T CERTIFICATES 2007-OA1                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A       | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1015384 | PA      | $930222.06     | 0.05%             | 2047-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                      | OFSI FUND LTD OFSBS 2021 10A AR 144A                   | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3704386.98    | 0.22%             | 2034-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-130610.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                              | CASTLELAKE LP FIRST LIEN TERM LOAN                     | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6793051 | PA      | $6416729.60    | 0.38%             | 2031-05-13      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080120 G2 10/27 FLOATING VAR              | CUSIP: 36225CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        401 | PA      | $401.17        | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                    | LPL HOLDINGS INC COMPANY GUAR 06/35 5.75               | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4048484.88    | 0.24%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A       | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113844 | PA      | $46655.81      | 0.00%             | 2036-06-19      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2       | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22161 | PA      | $21058.50      | 0.00%             | 2034-03-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                               | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M3       | CUSIP: 76112BH60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6295 | PA      | $6274.70       | 0.00%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1       | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1138113 | PA      | $1104063.04    | 0.06%             | 2034-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                    | OCCIDENTAL PETROLEUM COR OCCIDENTAL PETROLEUM COR      | CUSIP: 674599EK7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1191007.32    | 0.07%             | 2032-01-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4        | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180181 | PA      | $105711.26     | 0.01%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| OAKTREE STRATEGIC CREDIT FUND                                       | OAKTREE STRATEGIC CREDIT SR UNSECURED 07/29 6.5        | CUSIP: 67403AAE9<br>LEI: 2549006RRE0JC7G43241 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1536828.65    | 0.09%             | 2029-07-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                  | DRILLCO HLDG LUX S A COMMON STOCK                      | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        561 | NS      | $11500.50      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1 | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A5       | CUSIP: 04544RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6300000 | PA      | $5786560.71    | 0.34%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3         | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9031 | PA      | $9115.32       | 0.00%             | 2035-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2         | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1287078 | PA      | $1241815.38    | 0.07%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                        | ING GROEP NV SR UNSECURED REGS 05/29 VAR               | CUSIP: ACI2G2CQ9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     400000 | PA      | $493993.63     | 0.03%             | 2029-05-23      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080601 G2 05/32 FLOATING VAR              | CUSIP: 36225CU38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1429 | PA      | $1429.35       | 0.00%             | 2032-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE PTY LTD                                    | PACIFIC NATIONAL FINANCE COMPANY GUAR REGS 03/28 4.75  | CUSIP: BYVTPZII5<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |    1700000 | PA      | $1651269.50    | 0.10%             | 2028-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-9                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 9 2A2A        | CUSIP: 863579QX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180683 | PA      | $141797.28     | 0.01%             | 2035-05-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $5061.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TR 2005-1                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 1 M4         | CUSIP: 542514KC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6185141 | PA      | $6085949.89    | 0.36%             | 2035-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TRY BOUGHT USD 20250724                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4017.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 1A1      | CUSIP: 232434AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2877471 | PA      | $2662262.74    | 0.16%             | 2036-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS14                                | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS14 3A1      | CUSIP: 761118JJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     467441 | PA      | $411968.29     | 0.02%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20250717                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $25744.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2018-1A                               | ECMC GROUP STUDENT LOAN TRUST ECMC 2018 1A A 144A      | CUSIP: 26828HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3808012 | PA      | $3777070.32    | 0.22%             | 2068-02-27      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DELTA FNDG HOME EQ LN TR 1999-2                                     | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 2 A1A        | CUSIP: 24763LFS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13731 | PA      | $13699.31      | 0.00%             | 2030-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST 2022-4A                                    | GOLDEN CREDIT CARD TRUST GCCT 2022 4A A 144A           | CUSIP: 380881FP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    2630000 | PA      | $2629120.27    | 0.15%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2               | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14167 | PA      | $12212.23      | 0.00%             | 2035-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $295.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                              | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2D       | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     583249 | PA      | $320776.94     | 0.02%             | 2037-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC COMPANY GUAR 03/35 5.75                        | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2572292.40    | 0.15%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                 | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A      | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     413164 | PA      | $416651.49     | 0.02%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/54 4.25                             | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $36540624.80   | 2.14%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3  | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B       | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6968292 | PA      | $4784763.07    | 0.28%             | 2037-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING LP                                      | WESTERN MIDSTREAM OPERAT SR UNSECURED 11/34 5.45       | CUSIP: 958667AG2<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1667487.55    | 0.10%             | 2034-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                             | BOOZ ALLEN HAMILTON INC COMPANY GUAR 04/35 5.95        | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2034778.00    | 0.12%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                               | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C           | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172748 | PA      | $82076.22      | 0.00%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 07/25 0.00000                            | CUSIP: 912797PE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     139000 | PA      | $138744.55     | 0.01%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A2       | CUSIP: 86360JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27545 | PA      | $16858.17      | 0.00%             | 2046-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1       | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     676429 | PA      | $237492.15     | 0.01%             | 2046-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A13     | CUSIP: 02150EAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56287 | PA      | $28081.78      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                              | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 2A1      | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79504 | PA      | $63444.71      | 0.00%             | 2035-11-19      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                  | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 3A AR 144A     | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1991747.90    | 0.12%             | 2034-07-24      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080187 G2 04/28 FLOATING VAR              | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        481 | PA      | $479.75        | 0.00%             | 2028-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C           | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312128 | PA      | $107302.18     | 0.01%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $6672.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AS6473 FN 01/46 FIXED 3                      | CUSIP: 3138WGFP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65475 | PA      | $58261.35      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                        | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A               | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $990610.30     | 0.06%             | 2036-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1        | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     733983 | PA      | $430923.41     | 0.03%             | 2047-02-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | ZF EUROPE FINANCE BV SNR SE ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |          1 | NC      | $22592.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1      | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     513011 | PA      | $488454.10     | 0.03%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2007-AR2                                 | GREENPOINT MORTGAGE FUNDING TR GPMF 2007 AR2 2A1       | CUSIP: 39539LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1416710 | PA      | $1360480.65    | 0.08%             | 2037-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 9 1A1         | CUSIP: 86361PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76780 | PA      | $38257.48      | 0.00%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                   | MARS INC SR UNSECURED 144A 05/55 5.7                   | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5690139.80    | 0.33%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A4A       | CUSIP: 86364MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30836 | PA      | $28746.71      | 0.00%             | 2047-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2006-2                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 2 M2          | CUSIP: 83611MNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29305 | PA      | $29285.74      | 0.00%             | 2036-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-3                   | BEAR STEARNS ASSET BACKED SECU BSABS 2003 3 A2         | CUSIP: 07384YLS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420583 | PA      | $417317.04     | 0.02%             | 2043-06-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                | GSAMP TRUST GSAMP 2006 FM3 A2C                         | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     367086 | PA      | $171186.35     | 0.01%             | 2036-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                  | DRILLCO HLDG LUX SA COMMON STOCK                       | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        157 | NS      | $3218.50       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ARES MANAGEMENT CORPORATION                                         | ARES MANAGEMENT CORP COMPANY GUAR 10/54 5.6            | CUSIP: 03990BAB7<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2361998.45    | 0.14%             | 2054-10-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                             | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A     | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4369436.50    | 0.26%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2023397.13    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS AUD 4.75000 12/20/28-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $2119204.90    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080059 G2 04/27 FLOATING VAR              | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $179.40        | 0.00%             | 2027-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| VERTICAL BRIDGE HOLDINGS LLC  2020-2A                               | VB S1 ISSUER LLC VBTOW 2020 2A A 144A                  | CUSIP: 92535VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6960244.90    | 0.41%             | 2050-09-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-187303.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1        | CUSIP: 542514BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8108 | PA      | $11603.15      | 0.00%             | 2032-03-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR NOTE (CBT)SEP25 XCBT 20250919                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       3400 | NC      | $7034989.65    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-29620.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                      | LUMINENT MORTGAGE TRUST LUM 2006 7 2A1                 | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323876 | PA      | $295663.72     | 0.02%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                 | CITADEL FINANCE LLC COMPANY GUAR 144A 02/30 5.9        | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4140652.24    | 0.24%             | 2030-02-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2         | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1419523 | PA      | $964804.61     | 0.06%             | 2036-09-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.00000 02/12/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8065029.09    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                      | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175158 | PA      | $54666.39      | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                                 | PARALLEL LTD PARL 2021 1A AR 144A                      | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5990356.74    | 0.35%             | 2034-07-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                       | ARGENT SECURITIES INC. ARSI 2005 W5 A2C                | CUSIP: 040104QN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63509 | PA      | $60682.81      | 0.00%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.62000 02/14/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1016933.91   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 755123 FN 11/33 FIXED 5                      | CUSIP: 31403Q4G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.07          | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S8                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S8 A15        | CUSIP: 74957XAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88968 | PA      | $71047.42      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 1A2       | CUSIP: 02151AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327704 | PA      | $154965.18     | 0.01%             | 2037-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 659903 FN 09/32 FLOATING VAR                 | CUSIP: 31390YDG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        977 | PA      | $992.52        | 0.00%             | 2032-09-01      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CAD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $223290.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                   | HSBC HOLDINGS PLC SR UNSECURED 03/35 VAR               | CUSIP: 404280EE5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2075025.46    | 0.12%             | 2035-03-04      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                | EUROSAIL PLC ESAIL 2007 3X A3C REGS                    | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     154312 | PA      | $211768.48     | 0.01%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A                | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A B 144A    | CUSIP: ACI2X1SW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2100000 | PA      | $2473696.36    | 0.14%             | 2035-02-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1                      | AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5           | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65782 | PA      | $65962.86      | 0.00%             | 2034-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $8722.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS5                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS5 A4        | CUSIP: 75156YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61385 | PA      | $57643.48      | 0.00%             | 2036-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                       | BGC GROUP INC SR UNSECURED 05/28 8                     | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4601139.36    | 0.27%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                 | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 2A2        | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1137515 | PA      | $302835.34     | 0.02%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A        | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464507 | PA      | $425591.99     | 0.02%             | 2046-08-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                     | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 1A1               | CUSIP: 17025MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68241 | PA      | $61612.75      | 0.00%             | 2037-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-2                       | NOVASTAR HOME EQUITY LOAN NHEL 2006 2 A2C              | CUSIP: 66988VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75440 | PA      | $55230.66      | 0.00%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | LENNAR CORPORATION SNR S* ICE                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $28813.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-I1                                  | HSI ASSET SECURITIZATION CORPO HASC 2005 I1 2A4        | CUSIP: 40430HCN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2022691 | PA      | $1880295.88    | 0.11%             | 2035-11-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                         | PROLOGIS LP SR UNSECURED 02/33 4.2                     | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2957991.94    | 0.17%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                  | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/28 4.85         | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    4000000 | PA      | $4036680.60    | 0.24%             | 2028-04-17      | Fixed         | 4.85%                 | 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        |     188726 | PA      | $47185.25      | 0.00%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PRIVATE CREDIT FUND                                   | GOLUB CAPITAL CAP FND SR UNSECURED 05/30 5.875         | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1998314.32    | 0.12%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                        | DELOITTE LLP SR UNSEC F                                | CUSIP: 955GHA901<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     900000 | PA      | $867805.10     | 0.05%             | 2045-01-30      | Fixed         | 5.97%                 | Yes           |                  3 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                      | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     665293 | PA      | $203528.96     | 0.01%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                               | GLP CAPITAL LP / FIN II GLP CAPITAL LP / FIN II        | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1495570.35    | 0.09%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS3                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS3 A4        | CUSIP: 75156VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     555821 | PA      | $470962.73     | 0.03%             | 2036-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                           | NATIONAL FUEL GAS CO SR UNSECURED 03/35 5.95           | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1687930.28    | 0.10%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2005-OPT1                              | SG MORTGAGE SECURITIES TRUST SGMS 2005 OPT1 M2         | CUSIP: 81879MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293215 | PA      | $289033.27     | 0.02%             | 2035-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TRY BOUGHT USD 20250718                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1670.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 3A1A      | CUSIP: 41161PWU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          3 | PA      | $2.98          | 0.00%             | 2035-12-19      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 27CB A1      | CUSIP: 12667FWU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34983 | PA      | $31502.09      | 0.00%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                 | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M3            | CUSIP: 70069FKG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120613 | PA      | $118345.15     | 0.01%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                              | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A10       | CUSIP: 18976GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2280176 | PA      | $1999365.89    | 0.12%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |      34536 | PA      | $22738.42      | 0.00%             | 2037-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                        | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A       | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4301092.80    | 0.25%             | 2034-10-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                           | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A           | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5685523 | PA      | $6678847.62    | 0.39%             | 2032-07-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B      | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22762 | PA      | $18604.20      | 0.00%             | 2047-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3          | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178477 | PA      | $185553.92     | 0.01%             | 2037-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                                        | ACE SECURITIES CORP. ACE 2005 HE7 M1                   | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12417 | PA      | $13492.11      | 0.00%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA2                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA2 NB2       | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138995 | PA      | $123692.97     | 0.01%             | 2035-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20598.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.23100 09/18/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $245387.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-4                             | THORNBURG MORTGAGE SECURITIES TMST 2003 4 A1           | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63020 | PA      | $62428.93      | 0.00%             | 2043-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC1                              | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC1 A2C          | CUSIP: 61744CXM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68310 | PA      | $67205.01      | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                   | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A2        | CUSIP: 813765AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3741608 | PA      | $1928987.37    | 0.11%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A3     | CUSIP: 02146XAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58873 | PA      | $25123.86      | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                      | COUNTRYWIDE HOME LOANS CWHL 2006 21 A13                | CUSIP: 12543PAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125998 | PA      | $54948.08      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4187086.55   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1       | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445173 | PA      | $360544.61     | 0.02%             | 2035-10-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2023-3A                                    | OCTANE RECEIVABLES TRUST OCTL 2023 3A A2 144A          | CUSIP: 67571CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1332817 | PA      | $1342650.37    | 0.08%             | 2029-03-20      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                  | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2B       | CUSIP: 00075WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290933 | PA      | $160178.76     | 0.01%             | 2037-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                             | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2       | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42994 | PA      | $35409.09      | 0.00%             | 2035-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-124687.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                | VASA TRUST VASA 2021 VASA A 144A                       | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $972509.30     | 0.06%             | 2039-07-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 666828 FN 11/32 FLOATING VAR                 | CUSIP: 31391GYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3894 | PA      | $3948.90       | 0.00%             | 2032-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $118465.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                               | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 2A8       | CUSIP: 86789MAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146860 | PA      | $136840.33     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                       | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                 | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35411 | PA      | $31057.44      | 0.00%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| DIAMETER CREDIT FUNDING II LTD 2019-2A                              | DIAMETER CREDIT FUNDING II DCF 2019 2A A 144A          | CUSIP: 25253YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1279127.20    | 0.07%             | 2038-01-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                 | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85 | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6710000 | PA      | $6109075.89    | 0.36%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO V DAC 1A                                          | TRINITAS EURO CLO TRNTE 1A A 144A                      | CUSIP: ACI1RS713<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     251826 | PA      | $296638.76     | 0.02%             | 2032-10-20      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                               | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B           | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100182 | PA      | $43600.13      | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 6A1        | CUSIP: 61749LAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11711 | PA      | $11437.64      | 0.00%             | 2036-06-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                              | IPALCO ENTERPRISES INC SR SECURED 05/30 4.25           | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2497814.88    | 0.15%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                       | ARGENT SECURITIES INC. ARSI 2005 W5 A2D                | CUSIP: 040104QP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2576286 | PA      | $2378698.45    | 0.14%             | 2036-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12         | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322102 | PA      | $163060.88     | 0.01%             | 2046-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RS1                                | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS1 AI3       | CUSIP: 76112BT91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327464 | PA      | $303113.27     | 0.02%             | 2036-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL9 ISSUER LTD                                           | BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A               | CUSIP: 055984AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2177668 | PA      | $2183968.28    | 0.13%             | 2039-07-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                    | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A5             | CUSIP: 46630GAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60436 | PA      | $61437.77      | 0.00%             | 2035-07-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                             | GOLDMAN SACHS GROUP INC SR UNSECURED 10/34 VAR         | CUSIP: 38141GA53<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5530531.65    | 0.32%             | 2034-10-24      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-3                                    | BANC OF AMERICA FUNDING CORPOR BAFC 2006 3 5A5         | CUSIP: 058931BH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5406 | PA      | $4904.50       | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | 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        |     719524 | PA      | $168419.99     | 0.01%             | 2037-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                       | CITIGROUP INC CITIGROUP INC                            | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15327661.20   | 0.90%             | 2035-06-11      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A4      | CUSIP: 02147QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43040 | PA      | $24436.64      | 0.00%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO V DAC 1A                                          | TRINITAS EURO CLO TRNTE 1A AR 144A                     | CUSIP: ACI2XTDT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2100000 | PA      | $2473696.36    | 0.14%             | 2039-07-15      | Floating      | 3.17%                 | No            |                  3 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                  | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A    | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7518214.95    | 0.44%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                               | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8      | CUSIP: 59024KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117503 | PA      | $90849.49      | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-201001.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-64914.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                        | ACE SECURITIES CORP. ACE 2004 HE4 M1                   | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89591 | PA      | $81026.68      | 0.00%             | 2034-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 2A1       | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3262722 | PA      | $2238239.86    | 0.13%             | 2036-06-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                     | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1             | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293438 | PA      | $140341.89     | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A     | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229385 | PA      | $215218.49     | 0.01%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-17                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 17 1A1       | CUSIP: 12667GRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60359 | PA      | $54619.52      | 0.00%             | 2035-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| METAL CAYMAN 2017-1 LLC                                             | METAL CAYMAN METAL 2017 1 A 144A                       | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2559982 | PA      | $1702490.75    | 0.10%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080094 G2 07/27 FLOATING VAR              | CUSIP: 36225CC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        238 | PA      | $237.67        | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A16     | CUSIP: 02147QAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418809 | PA      | $237990.74     | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB7220 FN 09/53 FIXED 5.5                    | CUSIP: 3140QTAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442705 | PA      | $443224.34     | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                 | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1     | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30299 | PA      | $13524.46      | 0.00%             | 2036-10-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                   | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3       | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859668 | PA      | $205715.87     | 0.01%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                               | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 1A2 144A   | CUSIP: 05990TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4949093 | PA      | $4760072.82    | 0.28%             | 2036-08-27      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-223983.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-1                                      | HOME EQUITY ASSET TRUST HEAT 2005 1 M5                 | CUSIP: 437084HU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19739 | PA      | $19635.26      | 0.00%             | 2035-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $2980.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2D       | CUSIP: 59022QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     632096 | PA      | $309677.25     | 0.02%             | 2037-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2737664.12   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BM2000 FN 05/47 FIXED VAR                    | CUSIP: 3140J6GJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90633 | PA      | $83589.50      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | 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      | $232862.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                    | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A             | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7354 | PA      | $6395.46       | 0.00%             | 2036-02-20      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                | GSAMP TRUST GSAMP 2006 FM1 A2D                         | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215734 | PA      | $145869.11     | 0.01%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-NC1                                  | MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2         | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10015 | PA      | $10064.08      | 0.00%             | 2034-12-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3306.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                         | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125        | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   11500000 | PA      | $11414443.11   | 0.67%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-125744.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M2          | CUSIP: 86358EMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91462 | PA      | $77552.05      | 0.00%             | 2034-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080123 G2 10/27 FLOATING VAR              | CUSIP: 36225CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        444 | PA      | $443.43        | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11092.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                | BAYER US FINANCE LLC BAYER US FINANCE LLC              | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2359882.03    | 0.14%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C00895 FG 12/29 FIXED 7              | CUSIP: 31292G7G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $35.59         | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A7       | CUSIP: 74922EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2173146 | PA      | $1780333.36    | 0.10%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS3                               | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS3 WMB 144A    | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4209128.00    | 0.25%             | 2049-10-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                 | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M3            | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $916628.97     | 0.05%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                 | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A2B      | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128084 | PA      | $106815.95     | 0.01%             | 2037-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1           | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471482 | PA      | $114456.72     | 0.01%             | 2046-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                | SABRA HEALTH CARE LP COMPANY GUAR 10/29 3.9            | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4380419.09    | 0.26%             | 2029-10-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                             | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1      | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70880 | PA      | $67189.77      | 0.00%             | 2035-11-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                      | LCM LTD PARTNERSHIP LCM 35A A1R 144A                   | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11900000 | PA      | $11869492.09   | 0.70%             | 2034-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.85000 08/05/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-50344.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 08/25 0.00000                            | CUSIP: 912797PP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     264000 | PA      | $262388.68     | 0.02%             | 2025-08-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-7                                       | COUNTRYWIDE HOME LOANS CWHL 2004 7 2A1                 | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313856 | PA      | $289168.69     | 0.02%             | 2034-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL SR UNSECURED 06/27 5.75           | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1812985.70    | 0.11%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1467.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A           | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2180508 | PA      | $1999471.85    | 0.12%             | 2037-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                 | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A1      | CUSIP: 07387YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8140 | PA      | $8069.18       | 0.00%             | 2037-08-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                 | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1      | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63862 | PA      | $61167.17      | 0.00%             | 2046-09-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1          | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8609 | PA      | $8326.13       | 0.00%             | 2035-10-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1        | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23922 | PA      | $23992.77      | 0.00%             | 2034-01-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                             | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A        | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4863554 | PA      | $4566561.28    | 0.27%             | 2037-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-17269.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-155287.76    | -0.01%            |  |  |  | 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        |    1016716 | PA      | $977799.93     | 0.06%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-15CB                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 15CB A5      | CUSIP: 02151CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12408 | PA      | $7113.91       | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $8923.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                  | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2D       | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110078 | PA      | $60643.57      | 0.00%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 668269 FN 10/32 FLOATING VAR                 | CUSIP: 31391JMS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $315.65        | 0.00%             | 2032-10-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-602.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                             | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9         | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2029970.48    | 0.12%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $24860.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1       | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     574776 | PA      | $522452.99     | 0.03%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                              | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG      | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $192000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2022-2                                        | ARROYO MORTGAGE TRUST ARRW 2022 2 A1 144A              | CUSIP: 04285EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1963965 | PA      | $1958197.42    | 0.11%             | 2057-07-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                         | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2432776 | PA      | $2153417.84    | 0.13%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1        | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65005 | PA      | $45625.98      | 0.00%             | 2035-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                  | VICI PROPERTIES LP SR UNSECURED 04/35 5.625            | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4846051.63    | 0.28%             | 2035-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                               | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1        | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165668 | PA      | $158312.31     | 0.01%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $289.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                    | CONSECO FINANCIAL CORP GT 1999 3 A8                    | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     179052 | PA      | $165838.99     | 0.01%             | 2031-02-01      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SEK BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-3373.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-27683.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                          | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A              | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7004389.00    | 0.41%             | 2034-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BETONY CLO 2 LTD 2018-1A                                            | BETONY CLO 2, LTD. BTNY2 2018 1A A1 144A               | CUSIP: 08763QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2194061 | PA      | $2197242.73    | 0.13%             | 2031-04-30      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | MEXICO LA SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $734.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-22863.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC                                                  | HARBOUR ENERGY PLC SR UNSECURED 144A 04/35 6.327       | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1990330.60    | 0.12%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A3       | CUSIP: 86359LAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63696 | PA      | $60091.53      | 0.00%             | 2034-03-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS COMPANY                                           | KRAFT HEINZ FOODS CO COMPANY GUAR 06/46 4.375          | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4048137.25    | 0.24%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-2                                | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 2 2A1          | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291356 | PA      | $273626.45     | 0.02%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 3A2        | CUSIP: 07384MC67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21242 | PA      | $19784.01      | 0.00%             | 2034-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SMITH & NEPHEW PLC                                                  | SMITH + NEPHEW PLC SR UNSECURED 03/34 5.4              | CUSIP: 83192PAD0<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |    5000000 | PA      | $5073784.70    | 0.30%             | 2034-03-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | ELECTRICITE DE FRANCE SA (EDF SNR SE ICE               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $4042.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1       | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62558 | PA      | $23616.66      | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF11                               | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A4       | CUSIP: 32028PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92666 | PA      | $90198.00      | 0.01%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1     | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2044 | PA      | $2060.90       | 0.00%             | 2045-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5         | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33071 | PA      | $32552.62      | 0.00%             | 2035-04-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.47000 09/04/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $114097.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A1                                | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A3         | CUSIP: 59023MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101561 | PA      | $30626.32      | 0.00%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750QM06 PIMCO CDSOPT PUT USD 0.9 20250716            | CUSIP: OP0043SX7<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -25300000 | NC      | $-1715.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3         | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139905 | PA      | $72602.46      | 0.00%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                   | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 1A         | CUSIP: 073914VW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         40 | PA      | $40.05         | 0.00%             | 2031-03-25      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                               | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3        | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1266975 | PA      | $992829.91     | 0.06%             | 2036-08-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                     | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A         | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    6390988 | PA      | $6382515.78    | 0.37%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | MEXICO LA SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $913.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $67.78         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $18087.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $13069.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                           | INVESCO EURO CLO INVSC 1A A1R 144A                     | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     666299 | PA      | $783807.91     | 0.05%             | 2031-07-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1         | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65245 | PA      | $50357.26      | 0.00%             | 2036-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $627.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4         | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     512510 | PA      | $172514.59     | 0.01%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 10 A3        | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18207 | PA      | $18233.31      | 0.00%             | 2035-10-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                  | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A5         | CUSIP: 55275BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130987 | PA      | $48025.57      | 0.00%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TRY BOUGHT USD 20250717                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-14887.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 789791 FH 10/32 FLOATING VAR         | CUSIP: 31295N2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24556 | PA      | $25252.64      | 0.00%             | 2032-10-01      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M4          | CUSIP: 00764MEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35890 | PA      | $35282.98      | 0.00%             | 2035-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $22712.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                 | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A1       | CUSIP: 00075VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7575733 | PA      | $4831429.80    | 0.28%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-3                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 3 1A1        | CUSIP: 07387AAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        710 | PA      | $700.85        | 0.00%             | 2035-06-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-609.17       | -0.00%            |  |  |  | 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        |      75340 | PA      | $75047.04      | 0.00%             | 2035-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $35284.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 1B0349 FH 07/32 FLOATING VAR         | CUSIP: 31336R5J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $263.66        | 0.00%             | 2032-07-01      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                 | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A     | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2772907 | PA      | $2775800.66    | 0.16%             | 2032-07-23      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT NOK SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-320.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 2A1       | CUSIP: 761118TR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73899 | PA      | $63050.25      | 0.00%             | 2036-02-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB1                              | CREDIT BASED ASSET SERVICING A CBASS 2006 CB1 AF2      | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39219 | PA      | $33563.20      | 0.00%             | 2036-01-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                 | LEHMAN MORTGAGE TRUST LMT 2006 3 1A4                   | CUSIP: 52520CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55292 | PA      | $26076.23      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4         | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50367 | PA      | $43218.78      | 0.00%             | 2037-05-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA BPCE SA                                        | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    7500000 | PA      | $7945229.33    | 0.47%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                | RAAC SERIES RAAC 2005 SP2 2A                           | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17728 | PA      | $16169.23      | 0.00%             | 2044-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF5         | CUSIP: 759676AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9184318 | PA      | $3526800.06    | 0.21%             | 2036-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                  | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4         | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218311 | PA      | $80043.99      | 0.00%             | 2036-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A3     | CUSIP: 02146VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50653 | PA      | $37206.13      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AF2       | CUSIP: 59023NAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1019755 | PA      | $366853.33     | 0.02%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A4        | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $360803.32     | 0.02%             | 2036-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250708                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $632.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1394.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                        | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A   | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145160 | PA      | $96475.11      | 0.01%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                              | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A  | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155367 | PA      | $102230.50     | 0.01%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-40957.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $25.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT AUD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $31260.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                    | PUGET ENERGY INC SR SECURED 144A 03/35 5.725           | CUSIP: 745310AP7<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3019339.68    | 0.18%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080611 G2 06/32 FLOATING VAR              | CUSIP: 36225CVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2302 | PA      | $2332.47       | 0.00%             | 2032-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 09/25 0.00000                            | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     422000 | PA      | $418172.93     | 0.02%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP  | LADDER CAP FIN LLLP/CORP COMPANY GUAR 08/30 5.5        | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1510714.80    | 0.09%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B     | CUSIP: 02151WAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     362512 | PA      | $322263.55     | 0.02%             | 2047-11-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                              | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M1         | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28714 | PA      | $28350.54      | 0.00%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $44739.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW2                               | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW2 AF5      | CUSIP: 46629BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83757 | PA      | $49498.45      | 0.00%             | 2036-08-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                 | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375         | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3946208 | PA      | $3849113.77    | 0.23%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 1A           | CUSIP: 232422AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2659791 | PA      | $2523271.03    | 0.15%             | 2046-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                         | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A           | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5310056 | PA      | $5304604.58    | 0.31%             | 2038-03-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                            | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 02/61 4.3   | CUSIP: 53079EBL7<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2423947.40    | 0.14%             | 2061-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                | GSAMP TRUST GSAMP 2007 FM2 A2B                         | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1939214 | PA      | $1169070.75    | 0.07%             | 2037-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                | JPMORGAN CHASE + CO SR UNSECURED 07/35 VAR             | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2443280.14    | 0.14%             | 2035-07-22      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4         | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120650 | PA      | $116622.96     | 0.01%             | 2047-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN OWNER TRUST 1999-3                                | FREMONT HOME LOAN OWNER TRUST FREHE 1999 3 A2          | CUSIP: 35729BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4333 | PA      | $4226.62       | 0.00%             | 2029-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A3          | CUSIP: 23245CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30840 | PA      | $30777.62      | 0.00%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                          | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A           | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4291775 | PA      | $4336852.75    | 0.25%             | 2037-10-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                         | BANK OF AMERICA CORP SR UNSECURED 04/34 VAR            | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15306007.20   | 0.90%             | 2034-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                               | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D           | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1036487 | PA      | $492445.96     | 0.03%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2         | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419714 | PA      | $217746.91     | 0.01%             | 2037-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1       | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46227 | PA      | $43067.44      | 0.00%             | 2036-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                   | AG TRUST AG 2024 NLP A 144A                            | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5749505 | PA      | $5768003.23    | 0.34%             | 2041-07-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                  | CREDIT AGRICOLE SA 144A 01/36 VAR                      | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    3000000 | PA      | $3111343.98    | 0.18%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1648.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A1         | CUSIP: 02150AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90778 | PA      | $46975.80      | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $5541.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 3A1     | CUSIP: 12668BUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6218 | PA      | $5319.87       | 0.00%             | 2036-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-586.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 4A1A      | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66445 | PA      | $33793.35      | 0.00%             | 2035-12-19      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 688988 FN 05/33 FLOATING VAR                 | CUSIP: 31400JND7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9611 | PA      | $9821.75       | 0.00%             | 2033-05-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A3       | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     679766 | PA      | $590005.86     | 0.03%             | 2036-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2785.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                         | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6197926.41    | 0.36%             | 2035-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                               | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C           | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $355785.88     | 0.02%             | 2037-07-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-3A                                     | BAIN CAPITAL CREDIT CLO LIMITE BCC 2019 3A ARR 144A    | CUSIP: 05683TBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3200000 | PA      | $3184687.26    | 0.19%             | 2034-10-21      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A       | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136758 | PA      | $121171.48     | 0.01%             | 2046-11-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $92.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A    | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2719308 | PA      | $2710386.78    | 0.16%             | 2060-12-27      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A           | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10440445 | PA      | $9230340.75    | 0.54%             | 2047-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A      | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341489 | PA      | $333199.64     | 0.02%             | 2044-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                              | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A  | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1259501 | PA      | $759172.62     | 0.04%             | 2037-06-27      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A7         | CUSIP: 05952FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61503 | PA      | $47218.52      | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 09/25 0.00000                            | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     657000 | PA      | $651437.18     | 0.04%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                    | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 4A1              | CUSIP: 126694VP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98360 | PA      | $87681.91      | 0.01%             | 2036-02-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO3                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO3 A1        | CUSIP: 761118KU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51059 | PA      | $36395.66      | 0.00%             | 2045-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                 | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A         | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3661012 | PA      | $3724421.76    | 0.22%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND1                                            | BCAP LLC TRUST BCAP 2008 IND1 A1                       | CUSIP: 05531CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7590431 | PA      | $5680240.17    | 0.33%             | 2047-10-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA11                                | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA11 A1       | CUSIP: 74922XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143012 | PA      | $128440.52     | 0.01%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-9901.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                             | BCAP LLC TRUST BCAP 2007 AA3 2A1A                      | CUSIP: 05530VAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155338 | PA      | $141096.16     | 0.01%             | 2047-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1         | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117102 | PA      | $111068.68     | 0.01%             | 2035-10-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B13                                   | BENCHMARK MORTGAGE TRUST BMARK 2019 B13 A4             | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4565217 | PA      | $4280155.26    | 0.25%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                 | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M1         | CUSIP: 07388GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11052 | PA      | $11052.79      | 0.00%             | 2036-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO III DAC 3A                                               | AURIUM CLO ACLO 3A AR 144A                             | CUSIP: ACI1FVVB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4844072 | PA      | $5708217.48    | 0.33%             | 2030-04-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                 | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A     | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2098551.67    | 0.12%             | 2035-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                          | ARES CLO LTD ARES 2013 2A AR3 144A                     | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4600000 | PA      | $4605221.92    | 0.27%             | 2034-10-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                      | COUNTRYWIDE HOME LOANS CWHL 2006 21 A2                 | CUSIP: 12543PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77196 | PA      | $33664.40      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                        | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2            | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135107 | PA      | $132585.28     | 0.01%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $27885.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $10458.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1990.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 847116 FH 02/33 FLOATING VAR         | CUSIP: 3128HD3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5047 | PA      | $5145.52       | 0.00%             | 2033-02-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                       | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A    | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1842963 | PA      | $1852195.88    | 0.11%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-13283.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A3      | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1183866 | PA      | $1065027.34    | 0.06%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON 1ST MORTGAGE 03/49 4.875           | CUSIP: 842400GR8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $320326.18     | 0.02%             | 2049-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                  | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A1        | CUSIP: 86364LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18366 | PA      | $18334.03      | 0.00%             | 2037-08-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17               | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A    | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5500000 | PA      | $5492959.40    | 0.32%             | 2040-02-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                              | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3       | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81865 | PA      | $71373.24      | 0.00%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                   | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A        | CUSIP: 63942TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2377318.24    | 0.14%             | 2072-03-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A         | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3600000 | PA      | $3591431.06    | 0.21%             | 2034-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1          | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140802 | PA      | $29072.36      | 0.00%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| DIAGEO INVESTMENT CORPORATION                                       | DIAGEO INVESTMENT CORP COMPANY GUAR 04/35 5.625        | CUSIP: 25245BAE7<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1569214.34    | 0.09%             | 2035-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FINANCE 5 PLC                                        | TESCO PROPERTY FIN 5 PLC SR SECURED REGS 10/41 5.6611  | CUSIP: ACI01EQ39<br>LEI: 213800BN1HYPUZMXAF92 | Long             | DBT              | CORP              | GB        |      90994 | PA      | $123011.94     | 0.01%             | 2041-10-13      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                 | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5            | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2992232 | PA      | $2987594.18    | 0.18%             | 2034-12-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1986.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.61100 08/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $95928.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $18463.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FINANCE 3 PLC                                        | TESCO PROPERTY FIN 3 PLC SR SECURED REGS 04/40 5.744   | CUSIP: G8765XAA6<br>LEI: 213800HCQGDQGFP75D78 | Long             | DBT              | CORP              | GB        |     390458 | PA      | $535663.13     | 0.03%             | 2040-04-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1991.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT NZD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $12592.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                         | UNITED MEXICAN STATES SR UNSECURED 05/30 6             | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1600000 | PA      | $1657600.00    | 0.10%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-294.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER 2003-HYB1                                | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 HYB1 A3      | CUSIP: 61746WB90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12541 | PA      | $11331.59      | 0.00%             | 2033-03-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080363 G2 01/30 FLOATING VAR              | CUSIP: 36225CMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5777 | PA      | $5796.00       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                      | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A2                | CUSIP: 126694UT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21228 | PA      | $20170.73      | 0.00%             | 2036-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/28 6.8        | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10337940.00   | 0.61%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                   | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8    | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2265385 | PA      | $2269137.00    | 0.13%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO4 A1        | CUSIP: 74923LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51866 | PA      | $47622.12      | 0.00%             | 2047-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                              | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A    | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3180000 | PA      | $2824559.63    | 0.17%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                            | LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR        | CUSIP: 539439AU3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6000000 | PA      | $6031110.00    | 0.35%             | 2025-09-27      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| DAVINCIRE HOLDINGS LTD                                              | DAVINCIRE HOLDINGS LTD SR UNSECURED 144A 04/35 5.95    | CUSIP: 23879AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3150000 | PA      | $3171698.96    | 0.19%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                          | NAVESINK CLO, LIMITED NAVS 2024 2A A1 144A             | CUSIP: 63942YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6003046.44    | 0.35%             | 2036-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                      | FREMONT HOME LOAN TRUST FHLT 2006 2 2A3                | CUSIP: 35729PPX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18186 | PA      | $17640.44      | 0.00%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1        | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246224 | PA      | $175346.56     | 0.01%             | 2036-01-26      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080171 G2 02/28 FLOATING VAR              | CUSIP: 36225CFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $62.24         | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                      | MORGAN STANLEY SR UNSECURED 04/34 VAR                  | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20352470.60   | 1.19%             | 2034-04-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM7                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 NQM7 A1 144A    | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7036869 | PA      | $6194120.50    | 0.36%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 611310 FH 01/32 FLOATING VAR         | CUSIP: 31337NN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11708 | PA      | $11860.95      | 0.00%             | 2032-01-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3        | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45045 | PA      | $26428.78      | 0.00%             | 2037-01-25      | Floating      | 4.71%                 | 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        |     196226 | PA      | $51216.48      | 0.00%             | 2037-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                               | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C           | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     858456 | PA      | $486229.49     | 0.03%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A        | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4003 | PA      | $3803.95       | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35       | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5194269.20    | 0.30%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8341 FR 07/53 FIXED 5              | CUSIP: 3132DWHS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21927070 | PA      | $21582500.29   | 1.26%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC1                               | MORGAN STANLEY CAPITAL INC MSAC 2006 NC1 M2            | CUSIP: 61744CYC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9955566 | PA      | $9300139.34    | 0.55%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                | GSAMP TRUST GSAMP 2007 NC1 A2D                         | CUSIP: 3622MGAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125992 | PA      | $62266.78      | 0.00%             | 2046-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-181864.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRUSTAGE FINANCIAL GROUP INC                                        | TRUSTAGE FINANCIAL GROUP SR UNSECURED 144A 04/32 4.625 | CUSIP: 89787EAA9<br>LEI: 549300X7YNHNZXTI6F10 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5024556.03    | 0.29%             | 2032-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1         | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63531 | PA      | $60565.27      | 0.00%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                               | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5        | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83173 | PA      | $77994.58      | 0.00%             | 2035-11-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1       | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45905 | PA      | $20329.11      | 0.00%             | 2037-08-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-15                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A4          | CUSIP: 12666UAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4441320 | PA      | $4438688.82    | 0.26%             | 2046-10-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P3                              | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P3 A3        | CUSIP: 14686MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1001134 | PA      | $1001026.06    | 0.06%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                        | ACE SECURITIES CORP. ACE 2004 FM2 M1                   | CUSIP: 004421GJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271189 | PA      | $258355.83     | 0.02%             | 2034-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-16488.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2017-B                             | SMB PRIVATE EDUCATION LOAN TRU SMB 2017 B B 144A       | CUSIP: 83189DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $486691.60     | 0.03%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $23076.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250718                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-87509.49     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-4                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 4 3A6 144A    | CUSIP: 17315QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92953 | PA      | $37351.19      | 0.00%             | 2037-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW (6297782 LLC)                                             | SOUTH BOW USA INFRA HLDS COMPANY GUAR 144A 10/29 5.026 | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2408526.26    | 0.14%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                 | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A       | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4186119 | PA      | $3742951.13    | 0.22%             | 2037-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | AT&T INC SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $67652.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3        | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147009 | PA      | $146347.71     | 0.01%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1        | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20364 | PA      | $18765.36      | 0.00%             | 2035-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC4                              | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC4 M6           | CUSIP: 61744CRF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136201 | PA      | $127585.60     | 0.01%             | 2035-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                        | ACE SECURITIES CORP. ACE 2006 SD1 M1                   | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50067 | PA      | $46994.65      | 0.00%             | 2036-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MERX AVIATION FINANCE LLC 2018-1A                                   | MAPS LTD MAPSL 2018 1A A 144A                          | CUSIP: 56564RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     536116 | PA      | $535307.71     | 0.03%             | 2043-05-15      | Fixed         | 4.21%                 | 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        |      27127 | PA      | $25985.42      | 0.00%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA1 2A1      | CUSIP: 32051GV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40055 | PA      | $33527.39      | 0.00%             | 2036-04-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080587 G2 03/32 FLOATING VAR              | CUSIP: 36225CUM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1980 | PA      | $1993.36       | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL 2022-1A                                    | VB S1 ISSUER LLC VBTEL 2022 1A C2II 144A               | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1246373.38    | 0.07%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                              | FIRST NLC TRUST FNLC 2007 1 A1 144A                    | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39256 | PA      | $19619.24      | 0.00%             | 2037-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                           | INVITATION HOMES OP COMPANY GUAR 04/32 4.15            | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    1101000 | PA      | $1042905.96    | 0.06%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                             | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1       | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164356 | PA      | $173866.62     | 0.01%             | 2033-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $8319.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-252.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                               | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C           | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159171 | PA      | $82465.08      | 0.00%             | 2036-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                  | DRILLCO HLDG LUX S A COMMON STOCK                      | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       1418 | NS      | $29069.00      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-106.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375      | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198687.06     | 0.01%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU       | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 2NU A 144A   | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2940000 | PA      | $2662915.88    | 0.16%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 12A3      | CUSIP: 07384M4C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4932 | PA      | $4790.53       | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2      | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197062 | PA      | $152042.16     | 0.01%             | 2037-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E       | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119415 | PA      | $43111.50      | 0.00%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AX4887 FN 12/44 FIXED 4                      | CUSIP: 3138Y6ND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9325 | PA      | $8866.75       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A     | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $983457.00     | 0.06%             | 2032-11-10      | Fixed         | 3.43%                 | 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        |      64286 | PA      | $36706.21      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R1                                      | COUNTRYWIDE HOME LOANS CWHL 2005 R1 2A1 144A           | CUSIP: 12669GXE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20397 | PA      | $22703.49      | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST 2006-NC5                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC5 A4        | CUSIP: 144539AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $901734.96     | 0.05%             | 2037-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                              | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M5           | CUSIP: 61744CRV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46839 | PA      | $46706.94      | 0.00%             | 2035-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                          | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A              | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7007714.00    | 0.41%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                          | AVIATION CAPITAL GROUP SR UNSECURED 144A 10/28 6.75    | CUSIP: 05369AAP6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    5250000 | PA      | $5582753.56    | 0.33%             | 2028-10-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                       | GSAA HOME EQUITY TRUST GSAA 2007 5 2A1A                | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45315 | PA      | $42585.97      | 0.00%             | 2047-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 804602 FN 12/34 FLOATING VAR                 | CUSIP: 31406A3K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16350 | PA      | $16731.35      | 0.00%             | 2034-12-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1               | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12591 | PA      | $11892.01      | 0.00%             | 2035-04-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B       | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45392 | PA      | $40135.14      | 0.00%             | 2037-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4       | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426366 | PA      | $312800.78     | 0.02%             | 2035-08-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 2A4          | CUSIP: 045427AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2868473 | PA      | $2719847.38    | 0.16%             | 2046-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                  | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 2A1        | CUSIP: 07401NAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43024 | PA      | $41612.91      | 0.00%             | 2037-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                  | TENNESSEE GAS PIPELINE COMPANY GUAR 144A 03/30 2.9     | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3511072.97    | 0.21%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 400742 FN 09/27 FLOATING VAR                 | CUSIP: 31378KEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5109 | PA      | $5137.26       | 0.00%             | 2027-09-01      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                               | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4          | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1043742 | PA      | $1039675.81    | 0.06%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                   | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4       | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     573112 | PA      | $137269.25     | 0.01%             | 2036-12-25      | Floating      | 4.87%                 | 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        |      80227 | PA      | $75322.42      | 0.00%             | 2037-02-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2766.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                          | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M3          | CUSIP: 00764MFD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66250 | PA      | $63522.63      | 0.00%             | 2035-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                              | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG      | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $120000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A                         | NAVIENT STUDENT LOAN TRUST NAVSL 2017 A SUB 144A       | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     235540 | PA      | $233121.23     | 0.01%             | 2058-12-16      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                               | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB5         | CUSIP: 059487AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58450 | PA      | $51050.67      | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A      | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64502 | PA      | $62165.09      | 0.00%             | 2034-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2466                                                    | FREDDIE MAC FHR 2466 FV                                | CUSIP: 31392MP22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1006 | PA      | $1006.07       | 0.00%             | 2032-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A3         | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71487 | PA      | $49856.59      | 0.00%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED P/T CERT 2007-2                                     | TBW MORTGAGE BACKED PASS THROU TBW 2007 2 A1A          | CUSIP: 872227AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2637615 | PA      | $750156.97     | 0.04%             | 2037-07-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| WAVE TRUST 2019-1                                                   | WAVE USA WAAV 2019 1 A 144A                            | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1283371 | PA      | $1231696.15    | 0.07%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                 | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5          | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     437227 | PA      | $395924.46     | 0.02%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                | GSAMP TRUST GSAMP 2007 FM1 A2B                         | CUSIP: 3622MAAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441706 | PA      | $714783.26     | 0.04%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS1                 | DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS1 4A1 144A | CUSIP: 25160HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8674 | PA      | $8655.43       | 0.00%             | 2036-11-27      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                         | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1        | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275382 | PA      | $90019.75      | 0.01%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                  | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C       | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183463 | PA      | $101046.26     | 0.01%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A1     | CUSIP: 12667GAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122144 | PA      | $91557.79      | 0.01%             | 2035-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 4A1      | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31306 | PA      | $29828.24      | 0.00%             | 2037-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                  | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A    | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3788596 | PA      | $3797970.52    | 0.22%             | 2031-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                 | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1          | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111426 | PA      | $63417.72      | 0.00%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLDINGS LLC                                       | FREEDOM MORTGAGE HOLD SR UNSECURED 144A 04/32 8.375    | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3034716.00    | 0.18%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NLT 2021-INV2 TRUST                                                 | NMLT TRUST NLT 2021 INV2 A1 144A                       | CUSIP: 62917JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3198036 | PA      | $2789594.72    | 0.16%             | 2056-08-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-2236685.73   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                    | CEDAR FUNDING LTD CEDF 2016 6A ARR 144A                | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3750000 | PA      | $3760875.00    | 0.22%             | 2034-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-66274.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                             | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1          | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6213 | PA      | $6175.14       | 0.00%             | 2037-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A2        | CUSIP: 86359LEW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46515 | PA      | $44045.18      | 0.00%             | 2035-02-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                               | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A         | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20610 | PA      | $21.75         | 0.00%             | 2036-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-6872.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                   | CIM TRUST CIM 2023 R2 A1 144A                          | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14532678 | PA      | $14673887.90   | 0.86%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 2A3          | CUSIP: 12668KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419783 | PA      | $420277.19     | 0.02%             | 2047-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-98286.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                        | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 12/39 4.317   | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2212756.98    | 0.13%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $11759.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                              | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A2        | CUSIP: 14688PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     578528 | PA      | $579643.60     | 0.03%             | 2027-11-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   86900000 | PA      | $89603409.47   | 5.25%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50000000 | PA      | $50765126.00   | 2.98%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                     | ROLLS ROYCE PLC COMPANY GUAR 06/26 3.375               | CUSIP: ACI066P57<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $135860.38     | 0.01%             | 2026-06-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENDANT MORTGAGE CORP 2003-A                                        | CENDANT MORTGAGE CORPORATION CDMC 2003 A A2 144A       | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6463 | PA      | $6396.94       | 0.00%             | 2043-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-8191.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1               | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54613 | PA      | $52522.98      | 0.00%             | 2035-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                | BAYER US FINANCE LLC BAYER US FINANCE LLC              | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2444221.06    | 0.14%             | 2053-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1       | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1467985 | PA      | $1446612.39    | 0.08%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                    | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A         | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4790840 | PA      | $4787407.88    | 0.28%             | 2064-10-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | MEXICO LA SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $948.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                  | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A1             | CUSIP: 59020UJP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16144 | PA      | $14384.15      | 0.00%             | 2029-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                  | AMERICAN TOWER CORP SR UNSECURED 07/33 5.55            | CUSIP: 03027XCD0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1135200.58    | 0.07%             | 2033-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW3                                 | PARK PLACE SECURITIES INC PPSI 2005 WCW3 M2            | CUSIP: 70069FLX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93912 | PA      | $93539.30      | 0.01%             | 2035-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A       | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74634 | PA      | $74035.08      | 0.00%             | 2045-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $20917.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                   | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/31 4.125   | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2315792.75    | 0.14%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                      | COUNTRYWIDE HOME LOANS CWHL 2004 29 1A1                | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3266 | PA      | $3146.80       | 0.00%             | 2035-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                 | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A     | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98474 | PA      | $90935.77      | 0.01%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2558.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                         | TRINITAS CLO LTD TRNTS 2017 6A ARRR 144A               | CUSIP: 89640YBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9500000 | PA      | $9511435.25    | 0.56%             | 2034-01-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-33770.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $606.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-867.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                      | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264730 | PA      | $145938.19     | 0.01%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                            | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 12/51 VAR   | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6526558.57    | 0.38%             | 2051-12-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                    | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3             | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     336223 | PA      | $324457.60     | 0.02%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC6                              | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC6 M1        | CUSIP: 86358ECL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13886 | PA      | $13753.56      | 0.00%             | 2033-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOUTHWEST AIRLINES CO SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4101.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                    | DEUTSCHE BANK AG SUBORDINATED REGS 05/31 VAR           | CUSIP: ACI1MBMC4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     900000 | PA      | $1078436.38    | 0.06%             | 2031-05-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US ULTRA BOND CBT SEP25 XCBT 20250919                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1284 | NC      | $5415100.71    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                      | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5   | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1781528.10    | 0.10%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                           | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR    | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    1700000 | NS      | $1698946.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080116 G2 09/27 FLOATING VAR              | CUSIP: 36225CDW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        449 | PA      | $451.83        | 0.00%             | 2027-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3        | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89627 | PA      | $87784.56      | 0.01%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4         | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115848 | PA      | $114989.36     | 0.01%             | 2035-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | ZCS BRL 13.3525 06/17/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $758254.93     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                             | GA GLOBAL FUNDING TRUST SR SECURED 144A 01/29 5.5      | CUSIP: 36143L2L8<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3076088.76    | 0.18%             | 2029-01-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3527266 | PA      | $3162809.95    | 0.19%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA1                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA1 1A2       | CUSIP: 76111XTC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674866 | PA      | $435791.07     | 0.03%             | 2035-03-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-15389.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                          | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     868326 | PA      | $814660.55     | 0.05%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1365.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-15604.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                  | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2        | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267485 | PA      | $256036.87     | 0.02%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080221 G2 08/28 FLOATING VAR              | CUSIP: 36225CG75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3511 | PA      | $3511.89       | 0.00%             | 2028-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP4                                                | RAAC SERIES RAAC 2007 RP4 A 144A                       | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262429 | PA      | $240781.50     | 0.01%             | 2046-11-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $3296.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 2A2A    | CUSIP: 23245FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16355 | PA      | $21246.97      | 0.00%             | 2036-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A2        | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8809049 | PA      | $4726299.05    | 0.28%             | 2037-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD MXN BOUGHT USD 20250917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-0.97         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLAM 2024-1A LTD                                                    | SLAM LLC SLAM 2024 1A A 144A                           | CUSIP: 83100AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3857715 | PA      | $3856263.34    | 0.23%             | 2049-09-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR8                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 2A1A      | CUSIP: 17313FAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311006 | PA      | $278127.38     | 0.02%             | 2037-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-NC5                               | MORGAN STANLEY CAPITAL INC MSAC 2004 NC5 M1            | CUSIP: 61746RFV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52909 | PA      | $51106.68      | 0.00%             | 2034-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1         | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59097 | PA      | $51501.45      | 0.00%             | 2047-09-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG UBS GROUP AG                              | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9000000 | PA      | $9351838.53    | 0.55%             | 2035-02-08      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C8 MORTGAGE TRUST                                         | BMO MORTGAGE TRUST BMO 2024 5C8 A3                     | CUSIP: 09661XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3635194.50    | 0.21%             | 2057-12-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                           | INVITATION HOMES OP COMPANY GUAR 02/35 4.875           | CUSIP: 46188BAG7<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $969291.13     | 0.06%             | 2035-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-42                                                  | FANNIE MAE FNR 1997 42 ZC                              | CUSIP: 31359PX84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        548 | PA      | $548.94        | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M4          | CUSIP: 86358ESN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209430 | PA      | $206229.58     | 0.01%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                      | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR             | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $5553272.56    | 0.33%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-154.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 2A1        | CUSIP: 07401EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255915 | PA      | $213541.55     | 0.01%             | 2046-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-11                               | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 2A42       | CUSIP: 007036VE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70684 | PA      | $44529.92      | 0.00%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-3053.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                  | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A             | CUSIP: 59020UL37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21850 | PA      | $21183.38      | 0.00%             | 2035-11-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                               | HOLCIM FINANCE US LLC COMPANY GUAR 144A 04/35 5.4      | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5481580.82    | 0.32%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES INC                                         | SYSTEM ENERGY RESOURCES 1ST MORTGAGE 04/28 6           | CUSIP: 871911AU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1978794.16    | 0.12%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                 | FS KKR CAPITAL CORP SR UNSECURED 08/29 6.875           | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3282943.55    | 0.19%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10178.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10                | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE10 M2      | CUSIP: 073879X45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75018 | PA      | $74927.76      | 0.00%             | 2035-11-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2016-787S                                       | COMM MORTGAGE TRUST COMM 2016 787S A 144A              | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1667000 | PA      | $1638257.09    | 0.10%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                    | FREDDIE MAC FHR 2177 F                                 | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1404 | PA      | $1402.77       | 0.00%             | 2029-08-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A2                                    | JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 5A2             | CUSIP: 466247NV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        726 | PA      | $731.19        | 0.00%             | 2035-04-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $11395.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS3                                 | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS3 AI4       | CUSIP: 74924YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     921457 | PA      | $895788.08     | 0.05%             | 2037-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOEING CO/THE SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $19784.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SEK BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $34.92         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A  | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8734987 | PA      | $8828564.77    | 0.52%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-237802.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-23369.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                     | BEAR STEARNS ALT A TRUST BALTA 2006 2 11A1             | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53375 | PA      | $47450.80      | 0.00%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                     | BEAR STEARNS ALT A TRUST BALTA 2005 5 25A1             | CUSIP: 07386HUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289238 | PA      | $195813.17     | 0.01%             | 2035-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                 | NOMURA HOLDINGS INC NOMURA HOLDINGS INC                | CUSIP: 65535HBV0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    2750000 | PA      | $2846249.81    | 0.17%             | 2034-07-03      | Fixed         | 5.78%                 | 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        |      23046 | PA      | $21239.87      | 0.00%             | 2034-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                                | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A      | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42903 | PA      | $44606.33      | 0.00%             | 2037-03-26      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-504.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3         | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208394 | PA      | $209261.82     | 0.01%             | 2034-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A13     | CUSIP: 02149HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79636 | PA      | $41234.91      | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1      | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288860 | PA      | $236595.78     | 0.01%             | 2047-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 6A1         | CUSIP: 863579Q43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136796 | PA      | $100822.64     | 0.01%             | 2036-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                             | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4        | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751163 | PA      | $741815.34     | 0.04%             | 2036-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR ULTRA FUT SEP25 XCBT 20250919                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -4503 | NC      | $-9959234.33   | -0.58%            |  |  |  | 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        |    5600000 | PA      | $5604169.59    | 0.33%             | 2034-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A1        | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83380 | PA      | $30302.37      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2                 | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE2 2A4      | CUSIP: 07389YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10314649 | PA      | $9942242.77    | 0.58%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A2A      | CUSIP: 41161PKF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15875 | PA      | $15886.03      | 0.00%             | 2035-01-19      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES LP                                               | COUSINS PROPERTIES LP COMPANY GUAR 07/30 5.25          | CUSIP: 222793AC5<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3873278.74    | 0.23%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 01/34 1.75                             | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33183300 | PA      | $32910966.65   | 1.93%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 12A2       | CUSIP: 07384MM25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16249 | PA      | $15128.35      | 0.00%             | 2034-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-HOA1                                | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 HOA1 A11      | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166287 | PA      | $109194.48     | 0.01%             | 2047-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250714                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $10873.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008686 G2 08/25 FLOATING VAR              | CUSIP: 36202KUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.48          | 0.00%             | 2025-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC (FIN) COMPANY                                       | GLOBAL ATLANTIC FIN CO COMPANY GUAR 144A 03/54 6.75    | CUSIP: 37959GAF4<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |     400000 | PA      | $410238.79     | 0.02%             | 2054-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                              | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A2 144A   | CUSIP: 14687VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     577011 | PA      | $578267.40     | 0.03%             | 2027-08-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55         | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1269487.25    | 0.07%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4        | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91229 | PA      | $44545.76      | 0.00%             | 2037-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-635.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                     | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528 | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     243000 | PA      | $231092.85     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-1                                      | FREMONT HOME LOAN TRUST FHLT 2006 1 2A4                | CUSIP: 35729PPB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2613654 | PA      | $2385897.05    | 0.14%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW (6297782 LLC)                                             | SOUTH BOW USA INFRA HLDS COMPANY GUAR 144A 09/27 4.911 | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2013382.60    | 0.12%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                   | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A        | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2912833 | PA      | $2978001.23    | 0.17%             | 2041-02-20      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                 | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A         | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1505779 | PA      | $1528585.20    | 0.09%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20250710                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $137805.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A    | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5226 | PA      | $5022.04       | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-194565.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD MXN BOUGHT USD 20250917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-3392.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080186 G2 04/28 FLOATING VAR              | CUSIP: 36225CF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        700 | PA      | $703.60        | 0.00%             | 2028-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                | GSAMP TRUST GSAMP 2007 FM2 A1                          | CUSIP: 3622MHAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35063215 | PA      | $21372954.35   | 1.25%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                  | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1             | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1376 | PA      | $1398.51       | 0.00%             | 2029-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA 144A 10/34 VAR                                 | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    7500000 | PA      | $8243478.15    | 0.48%             | 2034-10-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A        | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29558 | PA      | $30661.00      | 0.00%             | 2035-10-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-122347.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $54534.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-15                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1          | CUSIP: 126670MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     366852 | PA      | $362986.33     | 0.02%             | 2036-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A1        | CUSIP: 61745M4N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     961617 | PA      | $859020.66     | 0.05%             | 2035-07-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5978.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                               | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C       | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177555 | PA      | $58306.05      | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                            | LEHMAN XS TRUST LXS 2006 12N A31A                      | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22168 | PA      | $22554.44      | 0.00%             | 2046-08-25      | Floating      | 4.83%                 | No            |                  2 | 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        |      19732 | PA      | $18310.28      | 0.00%             | 2037-07-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1       | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48074 | PA      | $22260.79      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080042 G2 02/27 FLOATING VAR              | CUSIP: 36225CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        982 | PA      | $979.45        | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11307.42     | -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        |    8200000 | PA      | $8207824.52    | 0.48%             | 2034-10-11      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                            | WOODSIDE FINANCE LTD COMPANY GUAR 05/35 6              | CUSIP: 980236AV5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    3350000 | PA      | $3421155.84    | 0.20%             | 2035-05-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-9237.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $9038.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                        | DELOITTE LLP SR UNSEC                                  | CUSIP: 938WPEII2<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1099194.67    | 0.06%             | 2035-01-30      | Fixed         | 5.59%                 | Yes           |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                             | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3        | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167434 | PA      | $151702.39     | 0.01%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-203674.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                 | EUROPEAN UNION SR UNSECURED REGS 10/29 2.875           | CUSIP: ACI2Q0PD7<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   77600000 | PA      | $93270022.23   | 5.47%             | 2029-10-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20250731                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $809.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-2                                       | COUNTRYWIDE HOME LOANS CWHL 2007 2 A16                 | CUSIP: 12544CAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76194 | PA      | $32281.79      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                             | CHASEFLEX TRUST CFLX 2007 M1 2F4                       | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18924 | PA      | $16057.43      | 0.00%             | 2037-08-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SEK BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-3146.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                       | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                   | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1686254 | PA      | $1687288.11    | 0.10%             | 2030-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-67.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $7591.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                                             | ENI SPA SR UNSECURED 144A 05/35 5.75                   | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    1800000 | PA      | $1841952.11    | 0.11%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 3A1       | CUSIP: 12667GZX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102536 | PA      | $95436.09      | 0.01%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35     | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5758210 | PA      | $4839269.62    | 0.28%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A4                                    | JP MORGAN MORTGAGE TRUST JPMMT 2004 A4 3A1             | CUSIP: 466247EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46835 | PA      | $46400.34      | 0.00%             | 2034-09-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A      | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546225 | PA      | $502943.33     | 0.03%             | 2047-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.26082 12/02/24-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $961487.41     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                 | CHENIERE ENERGY INC SR UNSECURED 04/34 5.65            | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2049323.50    | 0.12%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                  | MLCC MORTGAGE INVESTORS INC MLCC 2004 C A2B            | CUSIP: 59020UDW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5002 | PA      | $4970.19       | 0.00%             | 2029-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-9311.26      | -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        |      23488 | PA      | $22229.14      | 0.00%             | 2036-01-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                         | MASS MUTUAL LIFE INS CO SUBORDINATED 144A 02/69 VAR    | CUSIP: 575767AM0<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4003911.45    | 0.23%             | 2069-02-15      | Floating      | 5.08%                 | 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        |    6505917 | PA      | $6514826.97    | 0.38%             | 2032-10-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                     | MAREX GROUP PLC SR UNSECURED 05/28 5.829               | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4052567.24    | 0.24%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -120522000 | PA      | $-102413796.08 | -6.00%            | 2054-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1872665.18   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                  | TURKISH AIRLN 15 1 A PTT PASS THRU CE 144A 09/28 4.2   | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |    1624715 | PA      | $1573922.27    | 0.09%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                             | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 1A         | CUSIP: 43709LAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206689 | PA      | $194206.42     | 0.01%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-19

**Name of Applicant:** PIMCO Managed Accounts Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer