# EDGAR Filing Document

**Accession Number:** 0001098605
**File Stem:** 0001099263-26-003062
**Filing Date:** 2026-3
**Character Count:** 485368
**Document Hash:** 2a84c95e85ba75cf9c36fec9894406c9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003062.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003062

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**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:** 26705874

**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:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3752582952.03

**Total Liabilities:** $1915401687.15

**Net Assets:** $1837181264.88

**Cash Not Reported:** $4627886.69

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 61778.422400 | **1-Year:** 135378.945800 | **5-Year:** 643829.283100 | **10-Year:** 210704.819000 | **30-Year:** 5816.448900

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

- **3-Month:** 8407.183300 | **1-Year:** 27527.956100 | **5-Year:** 127509.614600 | **10-Year:** 24404.949300 | **30-Year:** 22.821900

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000013019 | 1.39%                | 0.85%                | -0.53%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3100545.80              | $8583050.44                                |
| Month 2  | $-2107470.35             | $11033604.97                               |
| Month 3  | $-412906.00              | $-6226612.89                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50400000 | PA      | $52436787.48  | 2.85%             | 2055-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-27071.65    | -0.00%            |  |  |  | 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        |     169052 | PA      | $81320.94     | 0.00%             | 2036-11-25      | Floating      | 3.99%                 | 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        |       2085 | PA      | $2119.24      | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260305                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $197330.08    | 0.01%             |  |  |  | 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      | $358458.34    | 0.02%             | 2028-12-15      | 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        |     271035 | PA      | $262637.56    | 0.01%             | 2046-09-25      | Floating      | 4.23%                 | 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        |       6216 | PA      | $5485.67      | 0.00%             | 2036-05-25      | Floating      | 4.13%                 | 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      | $3705108.22   | 0.20%             | 2034-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $4544.37      | 0.00%             |  |  |  | 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        |    6684324 | PA      | $4694299.51   | 0.26%             | 2037-09-25      | Floating      | 4.15%                 | 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        |    1344597 | PA      | $1326146.12   | 0.07%             | 2034-08-25      | Floating      | 5.32%                 | 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        |       3523 | PA      | $3454.31      | 0.00%             | 2029-12-25      | Floating      | 4.64%                 | 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        |       1853 | PA      | $1867.71      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | 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        |      12986 | PA      | $14104.75     | 0.00%             | 2046-07-25      | Floating      | 4.23%                 | 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        |      46745 | PA      | $44512.87     | 0.00%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $4077.83      | 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        |    5300000 | PA      | $5512152.80   | 0.30%             | 2035-03-18      | Fixed         | 6.45%                 | 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        |      64144 | PA      | $59762.01     | 0.00%             | 2046-09-25      | Floating      | 4.23%                 | 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        |      15765 | PA      | $15847.51     | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $11487.80     | 0.00%             |  |  |  | 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      | $358169.48    | 0.02%             | 2037-07-25      | Floating      | 5.10%                 | 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        |      19844 | PA      | $18250.96     | 0.00%             | 2035-03-25      | Floating      | 4.78%                 | 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        |     661113 | PA      | $599462.27    | 0.03%             | 2034-06-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260225                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3627.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                       | CITIGROUP INC SR UNSECURED 06/35 VAR                   | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12432567.96  | 0.68%             | 2035-06-11      | Floating      | 5.45%                 | 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        |    1180807 | PA      | $1199534.64   | 0.07%             | 2053-12-01      | Fixed         | 5.50%                 | 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        |       1843 | PA      | $1857.83      | 0.00%             | 2045-12-25      | Floating      | 4.39%                 | 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        |     273678 | PA      | $99126.10     | 0.01%             | 2036-02-25      | Floating      | 4.21%                 | 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        |      51080 | PA      | $46592.34     | 0.00%             | 2036-04-25      | Floating      | 4.29%                 | 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        |        689 | PA      | $677.99       | 0.00%             | 2035-06-25      | Floating      | 6.22%                 | 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      | $138712.78    | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | 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        |       5889 | PA      | $5850.52      | 0.00%             | 2037-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                               | AMRIZE FINANCE US LLC COMPANY GUAR 04/35 5.4           | CUSIP: 43475RAT3<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5571687.55   | 0.30%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER II LLC 2025-1A                                      | DATABANK ISSUER II, LLC HYPER 2025 1A A2 144A          | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2960858.10   | 0.16%             | 2055-09-27      | Fixed         | 5.18%                 | 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        |      86333 | PA      | $79518.32     | 0.00%             | 2034-12-25      | Floating      | 4.75%                 | 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      | $1799948.56   | 0.10%             | 2032-01-18      | Fixed         | 4.50%                 | 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      | $8209395.48   | 0.45%             | 2034-10-11      | Floating      | 5.10%                 | 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      | $487774.76    | 0.03%             | 2029-05-23      | Floating      | 4.50%                 | 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      | $1545918.02   | 0.08%             | 2029-07-23      | Fixed         | 6.50%                 | 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        |       1332 | PA      | $1332.35      | 0.00%             | 2032-05-20      | Floating      | 5.62%                 | 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      | $5609068.92   | 0.31%             | 2034-07-20      | Floating      | 5.16%                 | 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      | $4119759.16   | 0.22%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260227                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $18102.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2645.90     | -0.00%            |  |  |  | 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      | $3928704.72   | 0.21%             | 2055-04-01      | Fixed         | 6.20%                 | 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        |      71662 | PA      | $64524.80     | 0.00%             | 2047-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8390.47      | 0.00%             |  |  |  | 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        |      79525 | PA      | $78658.10     | 0.00%             | 2036-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3985.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-20117.96    | -0.00%            |  |  |  | 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        |    4681969 | PA      | $4469478.22   | 0.24%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1976.45      | 0.00%             |  |  |  | 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        |     113409 | PA      | $112643.55    | 0.01%             | 2034-10-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260303                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $319.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-863.77      | -0.00%            |  |  |  | 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        |       1788 | PA      | $1798.20      | 0.00%             | 2028-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-109.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                  | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3        | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195150 | PA      | $52076.85     | 0.00%             | 2037-04-25      | Floating      | 4.57%                 | 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        |     618148 | PA      | $304664.02    | 0.02%             | 2037-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2079.59      | 0.00%             |  |  |  | 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        |      63867 | PA      | $63845.48     | 0.00%             | 2033-12-19      | Floating      | 4.59%                 | 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      | $2469784.49   | 0.13%             | 2039-07-15      | Floating      | 3.23%                 | 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        |      59618 | PA      | $56521.14     | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-59603.32    | -0.00%            |  |  |  | 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        |       5268 | PA      | $4699.92      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | 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        |      44881 | PA      | $44763.63     | 0.00%             | 2035-08-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260209                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $89121.60     | 0.00%             |  |  |  | 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        |     117213 | PA      | $86860.33     | 0.00%             | 2035-05-25      | Floating      | 4.35%                 | 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        |      74522 | PA      | $72239.96     | 0.00%             | 2037-02-26      | Floating      | 3.16%                 | 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        |       5618 | PA      | $5552.91      | 0.00%             | 2043-07-25      | Fixed         | 6.00%                 | 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        |      83794 | PA      | $29188.47     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | 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        |   15300000 | PA      | $13837833.93  | 0.75%             | 2054-08-15      | Fixed         | 4.25%                 | 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        |     660604 | PA      | $542620.71    | 0.03%             | 2047-02-20      | Floating      | 4.03%                 | 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        |    6271590 | PA      | $5992879.82   | 0.33%             | 2031-05-12      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4922.96      | 0.00%             |  |  |  | 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        |     116524 | PA      | $114668.16    | 0.01%             | 2034-06-25      | Floating      | 4.58%                 | 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        |     133933 | PA      | $125146.76    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                        | DELOITTE LLP SR UNSEC                                  | CUSIP: 938WPEII2<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1120225.25   | 0.06%             | 2035-01-30      | Fixed         | 5.59%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $15.03        | 0.00%             |  |  |  | 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        |      33432 | PA      | $30033.29     | 0.00%             | 2034-12-25      | Fixed         | 6.00%                 | 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        |    1014313 | PA      | $487835.14    | 0.03%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $42028.68     | 0.00%             |  |  |  | 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      | $37871.39     | 0.00%             | 2036-10-25      | Floating      | 4.48%                 | 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      | $2673435.65   | 0.15%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1784.21      | 0.00%             |  |  |  | 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      | $134484.55    | 0.01%             | 2026-06-18      | Fixed         | 3.38%                 | 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        |     135891 | PA      | $122967.17    | 0.01%             | 2046-11-25      | Floating      | 5.53%                 | 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        |      40722 | PA      | $37984.92     | 0.00%             | 2047-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $25996.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1849909.57  | -0.10%            |  |  |  | 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        |     181515 | PA      | $157031.21    | 0.01%             | 2036-02-25      | Floating      | 6.23%                 | 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      | $-6265.06     | -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        |     169941 | PA      | $94235.42     | 0.01%             | 2036-06-25      | Floating      | 4.33%                 | 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        |    7214071 | PA      | $4615416.21   | 0.25%             | 2036-11-25      | Floating      | 4.13%                 | 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      | $-98402.41    | -0.01%            |  |  |  | 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      | $1398.88      | 0.00%             |  |  |  | No            |                  3 | 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        |      50123 | PA      | $36645.01     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | 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        |      43650 | PA      | $40604.89     | 0.00%             | 2036-08-25      | Floating      | 4.55%                 | 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        |     260126 | PA      | $69085.93     | 0.00%             | 2037-02-25      | Floating      | 4.07%                 | 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      | $2360084.38   | 0.13%             | 2039-12-30      | Fixed         | 4.32%                 | 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      | $906845.30    | 0.05%             | 2034-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-203.41      | -0.00%            |  |  |  | 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      | $5300074.89   | 0.29%             | 2034-10-19      | Floating      | 4.93%                 | 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        |      15986 | PA      | $17667.07     | 0.00%             | 2035-03-25      | Floating      | 4.79%                 | 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        |     175646 | PA      | $151071.01    | 0.01%             | 2037-03-27      | Floating      | 4.98%                 | 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        |     185669 | PA      | $184787.10    | 0.01%             | 2036-03-25      | Floating      | 4.52%                 | 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        |     265124 | PA      | $254474.65    | 0.01%             | 2034-06-25      | Floating      | 4.82%                 | 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        |      60983 | PA      | $58314.07     | 0.00%             | 2036-02-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $9758.70      | 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        |      71138 | PA      | $73541.65     | 0.00%             | 2035-11-25      | Floating      | 4.90%                 | 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        |      29714 | PA      | $28235.63     | 0.00%             | 2047-09-25      | Floating      | 4.21%                 | 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      | $4597164.74   | 0.25%             | 2028-05-25      | Fixed         | 8.00%                 | 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      |
| 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        |     300303 | PA      | $294628.48    | 0.02%             | 2037-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $7470.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C        | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712101 | PA      | $166579.26    | 0.01%             | 2037-03-25      | Floating      | 4.45%                 | 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        |      21486 | PA      | $20189.87     | 0.00%             | 2036-01-25      | Floating      | 4.81%                 | 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        |     609620 | PA      | $831473.08    | 0.05%             | 2040-10-13      | Fixed         | 5.80%                 | 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        |      47566 | PA      | $39000.59     | 0.00%             | 2037-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 01/26 0.00000                            | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      35000 | PA      | $34914.34     | 0.00%             | 2026-01-27      | None          | 0.00%                 | 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        |      15223 | PA      | $14108.12     | 0.00%             | 2035-01-25      | Floating      | 4.52%                 | 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        |    1594185 | PA      | $1596003.29   | 0.09%             | 2032-07-23      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                      | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2       | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7454 | PA      | $7287.45      | 0.00%             | 2029-10-20      | Floating      | 4.76%                 | 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        |        424 | PA      | $423.95       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 2YR NOTE (CBT) MAR26 XCBT 20260331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1686 | NC      | $-221862.80   | -0.01%            |  |  |  | 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        |        350 | PA      | $352.22       | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | 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        |     237216 | PA      | $167578.88    | 0.01%             | 2036-01-26      | Floating      | 5.00%                 | 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      | $45554.83     | 0.00%             | 2036-06-19      | Floating      | 4.30%                 | 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      | $3429991.15   | 0.19%             | 2051-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| LMNT CRE 2025-FL3 LLC                                               | LFT CRE 2021 FL1, LLC LMNT 2025 FL3 A 144A             | CUSIP: 50208TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7700000 | PA      | $7713384.37   | 0.42%             | 2043-07-21      | Floating      | 5.55%                 | 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      | $5788087.40   | 0.32%             | 2041-08-15      | Floating      | 5.77%                 | 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        |      77165 | PA      | $33467.70     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |      50009 | PA      | $42337.83     | 0.00%             | 2037-04-25      | Floating      | 4.27%                 | 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        |      21669 | PA      | $20508.15     | 0.00%             | 2047-05-20      | Floating      | 4.45%                 | 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        |   54276500 | PA      | $54067353.65  | 2.94%             | 2028-04-15      | Fixed         | 1.25%                 | 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        |      16336 | PA      | $15178.78     | 0.00%             | 2044-06-25      | Floating      | 4.45%                 | 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      | $657142.50    | 0.04%             | 2039-06-15      | Fixed         | 6.53%                 | 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      | $1152488.87   | 0.06%             | 2033-07-15      | Fixed         | 5.55%                 | 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        |     164714 | PA      | $154992.14    | 0.01%             | 2037-09-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3536.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                        | BARCLAYS PLC SR UNSECURED 11/33 VAR                    | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1372632.20   | 0.07%             | 2033-11-02      | Floating      | 7.44%                 | 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      | $15447858.45  | 0.84%             | 2034-04-25      | Floating      | 5.29%                 | 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        |       8627 | PA      | $8261.74      | 0.00%             | 2035-01-25      | Floating      | 4.17%                 | 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        |    5715404 | PA      | $5291255.70   | 0.29%             | 2035-06-25      | Floating      | 4.13%                 | 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        |       8605 | PA      | $8635.66      | 0.00%             | 2037-09-25      | Floating      | 4.06%                 | 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      | $999870.30    | 0.05%             | 2039-10-15      | Floating      | 5.41%                 | 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        |    7814528 | PA      | $7907581.56   | 0.43%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                    | PROJECT CASHMERE CLASS A1 144A                         | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   54300000 | PA      | $36237106.80  | 1.97%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | 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        |     127609 | PA      | $45114.40     | 0.00%             | 2036-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-664230.76   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260304                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $21306.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $12243.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                 | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A     | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2099895.00   | 0.11%             | 2035-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $13591.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA 144A 10/34 VAR                                 | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    7500000 | PA      | $8354931.68   | 0.45%             | 2034-10-19      | Floating      | 7.00%                 | 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        |      69319 | PA      | $48094.15     | 0.00%             | 2036-04-25      | Floating      | 4.17%                 | 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        |    3579742 | PA      | $3267829.36   | 0.18%             | 2035-11-20      | Floating      | 5.32%                 | 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        |       1591 | PA      | $1590.57      | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-19475.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                    | FREDDIE MAC FHR 2248 FB                                | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $436.15       | 0.00%             | 2030-09-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1491.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $73879.21     | 0.00%             |  |  |  | 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        |    1368386 | PA      | $1364794.34   | 0.07%             | 2037-05-25      | Floating      | 4.25%                 | 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        |      42784 | PA      | $23746.46     | 0.00%             | 2036-08-25      | Floating      | 6.00%                 | 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        |     189838 | PA      | $178980.46    | 0.01%             | 2036-11-25      | Floating      | 3.99%                 | 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        |    1150600 | PA      | $1120613.01   | 0.06%             | 2035-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95         | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     700000 | PA      | $592455.61    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | 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      | $17450.66     | 0.00%             | 2046-05-25      | Floating      | 4.37%                 | 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        |      89718 | PA      | $82712.92     | 0.00%             | 2036-02-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                    | FREDDIE MAC FHR 2177 F                                 | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $840.46       | 0.00%             | 2029-08-15      | Floating      | 4.55%                 | 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        |     207243 | PA      | $80625.14     | 0.00%             | 2036-11-25      | Floating      | 5.38%                 | 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        |     897828 | PA      | $904785.12    | 0.05%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     284000 | PA      | $281170.75    | 0.02%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1140.36      | 0.00%             |  |  |  | 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        |      70517 | PA      | $69156.21     | 0.00%             | 2045-01-25      | Floating      | 4.49%                 | 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        |     136006 | PA      | $120425.36    | 0.01%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                    | PROJECT CASHMERE CLASS D 144A                          | CUSIP: 990ABJSD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    1000000 | PA      | $667350.03    | 0.04%             | 2057-12-30      | Floating      | 6.56%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-4964.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                   | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A        | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8553094 | PA      | $8530836.74   | 0.46%             | 2065-06-22      | Fixed         | 4.67%                 | 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        |     225507 | PA      | $91040.53     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | 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        |      44506 | PA      | $43769.72     | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | 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        |      10729 | PA      | $10703.37     | 0.00%             | 2047-10-25      | Floating      | 4.08%                 | 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        |     150321 | PA      | $105372.81    | 0.01%             | 2036-02-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $48693.93     | 0.00%             |  |  |  | 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      | $1588138.49   | 0.09%             | 2035-04-15      | Fixed         | 5.62%                 | 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      | $80688.44     | 0.00%             | 2034-09-25      | Floating      | 4.78%                 | 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        |     179200 | PA      | $58576.04     | 0.00%             | 2036-07-25      | Floating      | 4.03%                 | 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        |       1306 | PA      | $1489.09      | 0.00%             | 2034-07-25      | Floating      | 4.57%                 | 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        |        114 | PA      | $114.05       | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | 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        |      55386 | PA      | $49901.53     | 0.00%             | 2036-12-25      | Floating      | 4.14%                 | 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        |        465 | PA      | $465.54       | 0.00%             | 2036-08-25      | Floating      | 4.52%                 | No            |                  2 | 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        |      10711 | PA      | $10804.77     | 0.00%             | 2032-08-01      | Floating      | 4.96%                 | 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      | $-755577.28   | -0.04%            |  |  |  | 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        |     673064 | PA      | $239259.65    | 0.01%             | 2046-05-25      | Floating      | 4.29%                 | 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        |     370530 | PA      | $137922.59    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    4000000 | PA      | $3734522.60   | 0.20%             | 2033-03-02      | Floating      | 3.35%                 | 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      | $4058781.60   | 0.22%             | 2036-05-25      | Variable      | 5.61%                 | 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      | $5868074.88   | 0.32%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  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        |    1240889 | PA      | $1227205.63   | 0.07%             | 2028-09-15      | Fixed         | 4.20%                 | 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        |    9893150 | PA      | $9669582.19   | 0.53%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1998.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                 | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5            | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2647218 | PA      | $2657222.99   | 0.14%             | 2034-12-25      | Floating      | 5.65%                 | 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        |   13613114 | PA      | $13770464.85  | 0.75%             | 2064-08-25      | Variable      | 5.50%                 | 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 ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-30011.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO X DAC 10A                                        | HAYFIN EMERALD CLO HAYEM 10A ARR 144A                  | CUSIP: ACI2ZWCP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1176284.23   | 0.06%             | 2039-10-18      | Floating      | 3.25%                 | 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        |       9464 | PA      | $9748.80      | 0.00%             | 2034-12-25      | Floating      | 4.60%                 | 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        |        114 | PA      | $113.90       | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | 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        |     155575 | PA      | $143125.17    | 0.01%             | 2031-02-01      | Fixed         | 7.06%                 | 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        |   27015414 | PA      | $5639483.96   | 0.31%             | 2036-07-25      | Floating      | 4.17%                 | 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        |     117813 | PA      | $39925.59     | 0.00%             | 2036-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8553.84      | 0.00%             |  |  |  | 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        |      45122 | PA      | $43348.15     | 0.00%             | 2035-02-19      | Floating      | 4.55%                 | 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        |      61630 | PA      | $57976.63     | 0.00%             | 2035-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10389.00     | 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        |     334104 | PA      | $80387.63     | 0.00%             | 2036-09-25      | Floating      | 3.99%                 | 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        |    8522346 | PA      | $4629681.04   | 0.25%             | 2037-05-25      | Floating      | 4.02%                 | 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        |    5378370 | PA      | $5382428.73   | 0.29%             | 2032-10-23      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $55604.25     | 0.00%             |  |  |  | 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      | $472000.00    | 0.03%             | 2060-12-31      | None          | 0.00%                 | 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      | $336536.74    | 0.02%             | 2049-03-01      | Fixed         | 4.88%                 | 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      | $12657.56     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 03/26 0.00000                            | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     288000 | PA      | $285534.57    | 0.02%             | 2026-03-31      | None          | 0.00%                 | 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        |     314514 | PA      | $295831.75    | 0.02%             | 2036-01-25      | Floating      | 4.49%                 | 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      | $207810.00    | 0.01%             |  |  |  | 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        |       9809 | PA      | $9582.82      | 0.00%             | 2036-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                 | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   36655000 | PA      | $2222098.70   | 0.12%             | 2040-01-31      | Fixed         | 9.00%                 | 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        |     106805 | PA      | $95103.38     | 0.01%             | 2037-07-25      | Floating      | 4.45%                 | 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      | $2876482.99   | 0.16%             | 2032-09-09      | Fixed         | 3.91%                 | 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        |      87481 | PA      | $73296.74     | 0.00%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8575.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4746.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1852.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 5YR NOTE (CBT) MAR26 XCBT 20260331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      12404 | NC      | $-3080954.40  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-41019.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-13347.24    | -0.00%            |  |  |  | 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        |     369410 | PA      | $310259.89    | 0.02%             | 2036-05-25      | Floating      | 4.25%                 | 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        |      52946 | PA      | $37133.81     | 0.00%             | 2035-11-25      | Floating      | 4.77%                 | 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        |     885709 | PA      | $862820.16    | 0.05%             | 2035-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $9681.56      | 0.00%             |  |  |  | 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        |     672896 | PA      | $423588.70    | 0.02%             | 2035-03-25      | Floating      | 5.21%                 | 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        |    1341489 | PA      | $1430975.41   | 0.08%             | 2034-03-25      | Floating      | 4.75%                 | 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      | $5123083.56   | 0.28%             | 2032-04-15      | Fixed         | 4.62%                 | 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        |     918659 | PA      | $816006.52    | 0.04%             | 2035-05-25      | Floating      | 4.35%                 | 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        |       6993 | PA      | $4701.53      | 0.00%             | 2037-07-25      | Floating      | 4.23%                 | 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        |       8751 | PA      | $8730.44      | 0.00%             | 2035-11-25      | Floating      | 6.04%                 | 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        |         89 | PA      | $89.47        | 0.00%             | 2026-10-20      | Floating      | 4.75%                 | 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      | $2051581.46   | 0.11%             | 2035-01-13      | Fixed         | 5.90%                 | 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        |     215200 | PA      | $87088.01     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |    3258356 | PA      | $1934823.30   | 0.11%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  188000000 | PA      | $187317029.84 | 10.20%            | 2056-02-12      | Fixed         | 5.00%                 | 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        |      68797 | PA      | $67643.16     | 0.00%             | 2038-04-26      | Floating      | 3.50%                 | 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      | $2109819.78   | 0.11%             | 2035-03-04      | Floating      | 5.72%                 | 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        |       7776 | PA      | $8821.92      | 0.00%             | 2035-11-25      | Floating      | 4.51%                 | 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      | $4904046.82   | 0.27%             | 2035-04-01      | Fixed         | 5.62%                 | 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        |    1109833 | PA      | $1090698.26   | 0.06%             | 2044-09-15      | Fixed         | 3.60%                 | 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      | $135203.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260112                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $76976.81     | 0.00%             |  |  |  | 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        |     302200 | PA      | $407404.31    | 0.02%             | 2045-06-13      | Floating      | 4.94%                 | 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        |    3500906 | PA      | $3227240.42   | 0.18%             | 2037-06-25      | Fixed         | 6.00%                 | 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      | $1353934.86   | 0.07%             |  |  |  | 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        |       3008 | PA      | $1866.75      | 0.00%             | 2037-07-25      | Floating      | 4.27%                 | 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        |      99755 | PA      | $98455.85     | 0.01%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $2524.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                            | F+G ANNUITIES + LIFE INC COMPANY GUAR 06/29 6.5        | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2712351.69   | 0.15%             | 2029-06-04      | Fixed         | 6.50%                 | 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      | $442500.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | 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        |     409307 | PA      | $407686.30    | 0.02%             | 2043-06-25      | Floating      | 5.03%                 | 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        |       3687 | PA      | $3746.97      | 0.00%             | 2032-11-01      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $23846.33     | 0.00%             |  |  |  | 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        |      78441 | PA      | $39387.17     | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | 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        |      27700 | PA      | $27123.38     | 0.00%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-283.18      | -0.00%            |  |  |  | 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        |     251630 | PA      | $234859.11    | 0.01%             | 2046-11-25      | Floating      | 4.55%                 | 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        |    2575353 | PA      | $2433073.87   | 0.13%             | 2046-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2105                                                    | FREDDIE MAC FHR 2105 PE                                | CUSIP: 3133TH4W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22953 | PA      | $23415.22     | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | 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        |       4819 | PA      | $4679.52      | 0.00%             | 2032-03-25      | Floating      | 4.87%                 | 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        |      22980 | PA      | $22087.73     | 0.00%             | 2035-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-13.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-5583.21     | -0.00%            |  |  |  | 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        |      63719 | PA      | $57104.41     | 0.00%             | 2037-11-25      | Floating      | 4.25%                 | 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      | $1199103.12   | 0.07%             | 2038-11-15      | Floating      | 4.96%                 | 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        |       4593 | PA      | $4687.99      | 0.00%             | 2033-02-01      | Floating      | 6.34%                 | 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      | $4517214.00   | 0.25%             | 2049-10-10      | Fixed         | 3.60%                 | 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        |       3769 | PA      | $3605.71      | 0.00%             | 2034-10-25      | Floating      | 5.23%                 | 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        |      41542 | PA      | $41536.33     | 0.00%             | 2035-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-151.87      | -0.00%            |  |  |  | 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      | $4296775.00   | 0.23%             | 2034-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11266.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                | ACRES PLC ACRES 2025 FL3 A 144A                        | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    9900000 | PA      | $9920354.90   | 0.54%             | 2040-08-18      | Floating      | 5.35%                 | 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        |     445478 | PA      | $393994.94    | 0.02%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR NOTE (CBT)MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1470 | NC      | $-516002.35   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $31598.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-17869.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5332.32     | -0.00%            |  |  |  | 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        |    1137525 | PA      | $303095.59    | 0.02%             | 2037-04-25      | Fixed         | 6.50%                 | 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      | $372482.32    | 0.02%             | 2036-04-25      | Floating      | 4.33%                 | 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        |       9138 | PA      | $8859.22      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | 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        |     137010 | PA      | $68630.83     | 0.00%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28200000 | PA      | $28958120.90  | 1.58%             | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $3467.67      | 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        |    1531273 | PA      | $1423898.92   | 0.08%             | 2036-01-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H8 MORTGAGE TRUST 2025-H8                                | CROSS MORTGAGE TRUST CROSS 2025 H8 A1 144A             | CUSIP: 22757XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     965160 | PA      | $967750.92    | 0.05%             | 2070-11-25      | Variable      | 5.00%                 | 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      | $1282273.58   | 0.07%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-289.25      | -0.00%            |  |  |  | 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        |      42402 | PA      | $23568.12     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | 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        |     320731 | PA      | $316535.35    | 0.02%             | 2044-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2003.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-32035.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $17.96        | 0.00%             |  |  |  | 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        |      75175 | PA      | $58643.34     | 0.00%             | 2035-08-25      | Floating      | 4.51%                 | 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        |      50040 | PA      | $49593.92     | 0.00%             | 2046-11-25      | Floating      | 4.25%                 | 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        |      62928 | PA      | $49428.78     | 0.00%             | 2036-10-20      | Floating      | 4.23%                 | 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        |    1949219 | PA      | $1841217.78   | 0.10%             | 2035-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BLUE CROSS AND BLUE SHIELD OF FLORIDA                               | BLUE CROSS BLU SHIELD FL SR UNSEC 4A2                  | CUSIP: 958BHKII8<br>LEI: CY3CIREO3HYBKXC2HK74 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4701781.25   | 0.26%             | 2030-09-30      | Fixed         | 4.85%                 | Yes           |                  3 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5          | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1308065.64   | 0.07%             | 2040-07-01      | Fixed         | 4.50%                 | 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      | $3646184.50   | 0.20%             | 2057-12-15      | Variable      | 5.63%                 | 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        |      49359 | PA      | $34448.16     | 0.00%             | 2045-10-25      | Floating      | 4.65%                 | 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      | $10994.46     | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-47714.77    | -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        |    4336725 | PA      | $4371524.01   | 0.24%             | 2050-02-16      | Fixed         | 5.52%                 | 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        |      31854 | PA      | $32298.79     | 0.00%             | 2035-01-25      | Floating      | 5.05%                 | 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        |      10822 | PA      | $10820.20     | 0.00%             | 2030-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4136.93      | 0.00%             |  |  |  | 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      | $6607887.86   | 0.36%             | 2051-12-15      | Floating      | 4.12%                 | 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        |    1398535 | PA      | $938079.83    | 0.05%             | 2036-09-25      | Floating      | 4.25%                 | 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        |    1958960 | PA      | $863685.50    | 0.05%             | 2036-10-25      | Floating      | 3.99%                 | 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        |     411424 | PA      | $411852.90    | 0.02%             | 2027-11-10      | Fixed         | 4.61%                 | 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        |      12254 | PA      | $11582.76     | 0.00%             | 2034-08-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                        | DELOITTE LLP SR UNSEC B                                | CUSIP: 955GGZII8<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1840588.51   | 0.10%             | 2032-01-30      | Fixed         | 5.41%                 | Yes           |                  3 | 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        |      54643 | PA      | $54559.62     | 0.00%             | 2035-07-25      | Floating      | 6.03%                 | 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        |    3218255 | PA      | $2192139.89   | 0.12%             | 2036-06-25      | Variable      | 3.56%                 | 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        |     526276 | PA      | $451600.93    | 0.02%             | 2036-05-25      | Floating      | 4.45%                 | 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        |       3862 | PA      | $3892.27      | 0.00%             | 2027-09-01      | Floating      | 6.22%                 | 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        |      33659 | PA      | $22725.35     | 0.00%             | 2037-06-25      | Floating      | 3.93%                 | 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        |      19987 | PA      | $20190.13     | 0.00%             | 2034-09-25      | Floating      | 6.30%                 | No            |                  2 | 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        |     152023 | PA      | $142111.98    | 0.01%             | 2036-11-25      | Floating      | 4.01%                 | 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        |    1436869 | PA      | $1438033.46   | 0.08%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1       | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1148820 | PA      | $1146095.23   | 0.06%             | 2036-06-25      | Floating      | 4.23%                 | 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      | $3051980.94   | 0.17%             | 2035-03-15      | Fixed         | 5.25%                 | 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        |     518415 | PA      | $609555.10    | 0.03%             | 2031-07-15      | Floating      | 2.66%                 | 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        |      18922 | PA      | $17775.96     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |     139532 | PA      | $93515.25     | 0.01%             | 2037-06-25      | Floating      | 3.94%                 | 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      | $3085378.38   | 0.17%             | 2029-01-08      | Fixed         | 5.50%                 | 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        |      56755 | PA      | $49924.75     | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1524.08      | 0.00%             |  |  |  | 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        |     203333 | PA      | $191541.05    | 0.01%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6.15         | 0.00%             |  |  |  | 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      | $4514765.50   | 0.25%             | 2029-10-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP / JSG FINANCE INC                                 | JANE STREET GRP/JSG FIN SR SECURED 144A 04/31 7.125    | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2102702.62   | 0.11%             | 2031-04-30      | Fixed         | 7.12%                 | 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        |     241016 | PA      | $238685.72    | 0.01%             | 2035-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-415575.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-24174.21    | -0.00%            |  |  |  | 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        |       8649 | PA      | $8316.53      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | 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        |    3112487 | PA      | $3173617.45   | 0.17%             | 2046-10-25      | Variable      | 5.96%                 | 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        |       6586 | PA      | $6610.82      | 0.00%             | 2037-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                       | SIXTH STREET LENDING PAR SR UNSECURED 07/30 6.125      | CUSIP: 829932AF9<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1540222.31   | 0.08%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | 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      | $5917748.76   | 0.32%             | 2036-12-25      | Floating      | 4.29%                 | 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        |      23878 | PA      | $23283.36     | 0.00%             | 2036-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20260203                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-44219.48    | -0.00%            |  |  |  | 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        |    2415724 | PA      | $1690932.25   | 0.09%             | 2042-10-15      | Fixed         | 4.58%                 | 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      | $7099177.11   | 0.39%             | 2034-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6538.55      | 0.00%             |  |  |  | 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        |      23434 | PA      | $36541.52     | 0.00%             | 2038-01-19      | Floating      | 4.35%                 | 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        |   33933787 | PA      | $21245720.32  | 1.16%             | 2037-01-25      | Floating      | 3.99%                 | 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        |      67639 | PA      | $66759.05     | 0.00%             | 2034-04-25      | Floating      | 4.45%                 | 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        |     195253 | PA      | $263267.05    | 0.01%             | 2045-06-13      | Floating      | 4.94%                 | 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      | $5897760.00   | 0.32%             |  |  |  | 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        |     680303 | PA      | $678349.08    | 0.04%             | 2036-09-25      | Floating      | 4.11%                 | 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        |     159561 | PA      | $170347.38    | 0.01%             | 2037-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $11666.51     | 0.00%             |  |  |  | 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        |     203232 | PA      | $188355.42    | 0.01%             | 2036-02-25      | Floating      | 5.03%                 | 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        |    1311944 | PA      | $1260017.18   | 0.07%             | 2035-12-25      | Floating      | 4.46%                 | 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      | $9165984.15   | 0.50%             | 2028-06-11      | Fixed         | 2.88%                 | 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        |     583369 | PA      | $586301.42    | 0.03%             | 2029-03-20      | Fixed         | 6.44%                 | 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        |     164930 | PA      | $163214.45    | 0.01%             | 2035-05-25      | Floating      | 4.75%                 | 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        |     124744 | PA      | $106954.52    | 0.01%             | 2037-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10353.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260223                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $24994.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $20705625.12  | 1.13%             | 2055-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM16 TRUST                                                | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM16 A1 144A        | CUSIP: 67120GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6145868 | PA      | $6194329.55   | 0.34%             | 2064-10-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                 | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 VAR    | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     308000 | PA      | $306189.71    | 0.02%             | 2027-09-13      | Floating      | 5.76%                 | 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        |     114529 | PA      | $104169.89    | 0.01%             | 2035-03-25      | Floating      | 4.47%                 | 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        |      57469 | PA      | $56484.33     | 0.00%             | 2034-11-25      | Floating      | 4.59%                 | 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      | $620372.88    | 0.03%             | 2036-06-25      | Floating      | 5.05%                 | 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      | $295000.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | 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        |    3368983 | PA      | $3044781.27   | 0.17%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                         | GARTNER INC SR UNSECURED 11/35 5.6                     | CUSIP: 366651AK3<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5089351.35   | 0.28%             | 2035-11-20      | Fixed         | 5.60%                 | 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        |     629741 | PA      | $599864.08    | 0.03%             | 2065-05-25      | Variable      | 0.94%                 | 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        |        181 | PA      | $181.34       | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | 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        |     417034 | PA      | $332718.01    | 0.02%             | 2035-10-25      | Floating      | 3.64%                 | 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      | $6994322.30   | 0.38%             | 2034-07-25      | Floating      | 4.99%                 | 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        |      78767 | PA      | $31700.77     | 0.00%             | 2037-05-25      | Floating      | 4.33%                 | 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        |     180405 | PA      | $47898.98     | 0.00%             | 2036-03-25      | Floating      | 10.86%                | 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        |     429610 | PA      | $415088.99    | 0.02%             | 2035-10-25      | Floating      | 4.17%                 | 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      | $3198220.51   | 0.17%             | 2034-10-21      | Floating      | 4.90%                 | 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        |     449841 | PA      | $418136.97    | 0.02%             | 2046-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260218                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $111558.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2396                                                    | FREDDIE MAC FHR 2396 FM                                | CUSIP: 31339LJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        370 | PA      | $370.31       | 0.00%             | 2031-12-15      | Floating      | 4.55%                 | 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        |      77723 | PA      | $78386.25     | 0.00%             | 2035-08-25      | Floating      | 4.58%                 | 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        |     109224 | PA      | $147271.13    | 0.01%             | 2045-06-13      | Floating      | 4.94%                 | 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      | $1996850.32   | 0.11%             | 2034-07-24      | 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      | $16068.67     | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | 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      | $889409.30    | 0.05%             | 2035-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-825.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR ULTRA FUT MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -2863 | NC      | $3678597.13   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-9100.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4193.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                               | ROMARK CREDIT FUNDING I, LTD. RCF 2025 4A A 144A       | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2716920.90   | 0.15%             | 2043-07-29      | Fixed         | 5.42%                 | 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        |       3075 | PA      | $2996.10      | 0.00%             | 2035-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                    | PROJECT CASHMERE CLASS C 144A                          | CUSIP: 990ABJSB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    1300000 | PA      | $867555.04    | 0.05%             | 2057-12-30      | Floating      | 6.16%                 | No            |                  3 | 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      | $1069199.82   | 0.06%             | 2032-04-15      | Fixed         | 4.15%                 | 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      | $104360.39    | 0.01%             |  |  |  | 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      | $3246654.03   | 0.18%             | 2035-04-15      | Fixed         | 5.95%                 | 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        |      61052 | PA      | $59232.23     | 0.00%             | 2036-01-25      | Floating      | 4.31%                 | 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        |       1456 | PA      | $1450.74      | 0.00%             | 2036-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260309                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $19831.15     | 0.00%             |  |  |  | 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        |      10869 | PA      | $11074.78     | 0.00%             | 2032-01-01      | Floating      | 5.88%                 | 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        |     201935 | PA      | $87104.34     | 0.00%             | 2036-10-26      | Fixed         | 6.25%                 | 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        |      23059 | PA      | $21360.84     | 0.00%             | 2047-05-25      | Floating      | 4.15%                 | 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        |      65929 | PA      | $29061.34     | 0.00%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-4491.88     | -0.00%            |  |  |  | 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        |    4278554 | PA      | $4202951.72   | 0.23%             | 2059-02-25      | Variable      | 3.75%                 | 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      | $3273043.62   | 0.18%             | 2034-09-21      | Floating      | 6.32%                 | 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        |      50057 | PA      | $46194.50     | 0.00%             | 2037-02-25      | Floating      | 6.47%                 | 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        |      81642 | PA      | $47888.98     | 0.00%             | 2036-08-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1012872.34   | 0.06%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                      | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 04/34 5.95  | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    5500000 | PA      | $5860331.57   | 0.32%             | 2034-04-22      | Fixed         | 5.95%                 | 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        |     298323 | PA      | $265263.81    | 0.01%             | 2037-07-25      | Floating      | 5.02%                 | 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        |      15673 | PA      | $14205.02     | 0.00%             | 2034-05-25      | Floating      | 4.33%                 | 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        |       3692 | PA      | $3368.15      | 0.00%             | 2036-03-25      | Floating      | 4.53%                 | 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      | $7105325.00   | 0.39%             | 2034-08-16      | Floating      | 5.15%                 | 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        |      47655 | PA      | $43925.86     | 0.00%             | 2037-05-25      | Floating      | 4.65%                 | 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        |      38606 | PA      | $19558.80     | 0.00%             | 2037-08-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8226.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-238418.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $64822.27     | 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        |     202812 | PA      | $78475.76     | 0.00%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875             | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  444988000 | PA      | $28042842.80  | 1.53%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                  | ALLY FINANCIAL INC SR UNSECURED 01/30 VAR              | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3821123.77   | 0.21%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | 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        |        293 | PA      | $293.87       | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $4583.87      | 0.00%             |  |  |  | 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      | $3698658.23   | 0.20%             | 2035-04-23      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260309                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $11125.31     | 0.00%             |  |  |  | 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      | $3587162.57   | 0.20%             | 2030-03-01      | Fixed         | 2.90%                 | 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        |     104395 | PA      | $77597.79     | 0.00%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-11901.25    | -0.00%            |  |  |  | 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        |    6395147 | PA      | $5742105.32   | 0.31%             | 2066-10-25      | Variable      | 1.76%                 | 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        |    5963734 | PA      | $3211176.06   | 0.17%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $8150.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $25118.07     | 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        |     984593 | PA      | $922893.54    | 0.05%             | 2047-02-25      | Floating      | 4.73%                 | 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        |     126749 | PA      | $120048.04    | 0.01%             | 2035-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-8555.75     | -0.00%            |  |  |  | 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        |   20857511 | PA      | $20883818.58  | 1.14%             | 2053-07-01      | Fixed         | 5.00%                 | 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        |      13620 | PA      | $13353.46     | 0.00%             | 2036-02-25      | Floating      | 4.19%                 | 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        |     112492 | PA      | $110046.85    | 0.01%             | 2047-06-25      | Floating      | 4.10%                 | 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        |    2237768 | PA      | $2107448.58   | 0.11%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-8072.37     | -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      | $219042.36    | 0.01%             |  |  |  | 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        |      19247 | PA      | $18459.48     | 0.00%             | 2034-03-19      | Floating      | 4.55%                 | 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      | $3903078.88   | 0.21%             | 2030-07-15      | Fixed         | 5.25%                 | 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        |     416319 | PA      | $231265.72    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | 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        |    2128205 | PA      | $2142075.08   | 0.12%             | 2029-02-15      | Fixed         | 4.80%                 | 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      | $4601470.16   | 0.25%             | 2034-10-28      | Floating      | 5.01%                 | 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      | $2026298.34   | 0.11%             | 2035-04-01      | Fixed         | 6.33%                 | 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        |     175222 | PA      | $57239.16     | 0.00%             | 2036-07-25      | Floating      | 4.17%                 | 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      | $10221624.99  | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-42775.97    | -0.00%            |  |  |  | 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      | $2564318.28   | 0.14%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-34493.65    | -0.00%            |  |  |  | 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        |    2316090 | PA      | $2081227.92   | 0.11%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $9861.97      | 0.00%             |  |  |  | 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        |    2171020 | PA      | $2165875.34   | 0.12%             | 2062-11-25      | Variable      | 6.12%                 | 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        |      44843 | PA      | $40511.58     | 0.00%             | 2047-09-25      | Floating      | 5.15%                 | 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        |    8123334 | PA      | $7139100.13   | 0.39%             | 2052-04-25      | Fixed         | 3.00%                 | 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        |      61777 | PA      | $56331.42     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | 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        |     410700 | PA      | $212304.82    | 0.01%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $71373.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-56.26       | -0.00%            |  |  |  | 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        |     364334 | PA      | $96974.65     | 0.01%             | 2037-02-25      | Floating      | 4.21%                 | 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        |     126933 | PA      | $120370.36    | 0.01%             | 2035-04-25      | Floating      | 4.90%                 | 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        |     259101 | PA      | $184686.23    | 0.01%             | 2046-07-25      | Floating      | 4.23%                 | 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        |    5551613 | PA      | $5029474.68   | 0.27%             | 2063-03-25      | Fixed         | 3.25%                 | 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        |      22893 | PA      | $23588.41     | 0.00%             | 2032-10-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                           | FARM CREDIT BK OF TEXAS JR SUBORDINA 12/99 VAR         | CUSIP: 30767EAE9<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    2500000 | NS      | $2623275.00   | 0.14%             |  |  |  | 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        |    5283539 | PA      | $5284979.36   | 0.29%             | 2032-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1550.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $35529.70     | 0.00%             |  |  |  | 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      | $12459.00     | 0.00%             | 2034-10-25      | Floating      | 5.50%                 | 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        |      93693 | PA      | $42981.96     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | 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        |    3231126 | PA      | $3082522.35   | 0.17%             | 2036-02-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US ULTRA BOND CBT MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1000 | NC      | $-2898506.81  | -0.16%            |  |  |  | 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        |     309908 | PA      | $155147.69    | 0.01%             | 2046-10-25      | Floating      | 4.06%                 | 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        |     600760 | PA      | $196204.39    | 0.01%             | 2036-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H9 MORTGAGE TRUST                                        | CROSS MORTGAGE TRUST CROSS 2025 H9 A1 144A             | CUSIP: 227923AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3581649 | PA      | $3592921.17   | 0.20%             | 2070-11-25      | Variable      | 5.04%                 | 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        |        327 | PA      | $327.74       | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | 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        |      56292 | PA      | $26150.27     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | 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      | $2151621.14   | 0.12%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                | BAYER US FINANCE LLC COMPANY GUAR 144A 11/53 6.875     | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2492375.59   | 0.14%             | 2053-11-21      | Fixed         | 6.88%                 | 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        |    1493421 | PA      | $1493745.31   | 0.08%             | 2037-02-19      | Floating      | 5.08%                 | 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        |      20895 | PA      | $19460.83     | 0.00%             | 2034-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                   | CAPITAL ONE FINANCIAL CO SR UNSECURED 10/31 VAR        | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5652403.35   | 0.31%             | 2031-10-30      | Floating      | 7.62%                 | 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        |    5325687 | PA      | $5279685.61   | 0.29%             | 2035-02-25      | Floating      | 5.12%                 | 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      | $11203787.84  | 0.61%             | 2034-10-15      | Floating      | 6.81%                 | 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        |      62969 | PA      | $43494.10     | 0.00%             | 2035-08-25      | Floating      | 4.15%                 | 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        |    4331159 | PA      | $4349470.50   | 0.24%             | 2064-10-25      | Variable      | 4.61%                 | 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        |     533687 | PA      | $280527.25    | 0.02%             | 2036-10-25      | Floating      | 3.96%                 | 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        |       4034 | PA      | $4018.13      | 0.00%             | 2037-08-25      | Floating      | 5.10%                 | 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        |     260440 | PA      | $147736.61    | 0.01%             | 2036-03-25      | Floating      | 4.23%                 | 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        |     100251 | PA      | $30349.83     | 0.00%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                        | PPM CLO, LTD. PPMC 2021 5A AR 144A                     | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2300000 | PA      | $2300042.09   | 0.13%             | 2034-10-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-46.26       | -0.00%            |  |  |  | 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        |       6315 | PA      | $6113.93      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-7328.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFRA TRUST 2025-NQM2                                                | MFRA TRUST MFRA 2025 NQM2 A1 144A                      | CUSIP: 55287MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3289018 | PA      | $3319094.83   | 0.18%             | 2070-05-27      | Fixed         | 5.67%                 | 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      | $3333.06      | 0.00%             | 2036-01-25      | Floating      | 3.89%                 | 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      | $5128792.85   | 0.28%             | 2031-07-11      | Fixed         | 5.53%                 | 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        |    1143533 | PA      | $1053835.05   | 0.06%             | 2037-07-25      | Floating      | 4.03%                 | 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        |       1656 | PA      | $1664.23      | 0.00%             | 2029-07-20      | Floating      | 5.38%                 | 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        |     308809 | PA      | $106950.86    | 0.01%             | 2036-09-25      | Floating      | 4.15%                 | 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        |        535 | PA      | $538.21       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | 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        |     295456 | PA      | $126373.92    | 0.01%             | 2037-03-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-239706.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $570.93       | 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        |      20675 | PA      | $20206.69     | 0.00%             | 2035-11-25      | Floating      | 5.29%                 | 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      | $3072005.19   | 0.17%             | 2030-01-07      | Fixed         | 5.38%                 | 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        |    1392452 | PA      | $691580.73    | 0.04%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2782.86      | 0.00%             |  |  |  | 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        |     173172 | PA      | $53810.59     | 0.00%             | 2036-08-25      | Floating      | 4.17%                 | 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        |     390206 | PA      | $393545.91    | 0.02%             | 2047-09-25      | Floating      | 5.35%                 | 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      | $100221.67    | 0.01%             |  |  |  | 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        |     120611 | PA      | $57380.70     | 0.00%             | 2036-01-25      | Floating      | 4.15%                 | 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        |      33870 | PA      | $30165.97     | 0.00%             | 2035-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $11.68        | 0.00%             |  |  |  | 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        |      58684 | PA      | $24404.05     | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | 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        |    2050038 | PA      | $1689074.99   | 0.09%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                          | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9   | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1194148.43   | 0.06%             | 2028-09-11      | Fixed         | 4.90%                 | 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        |        166 | PA      | $166.07       | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | 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      | $2276669.73   | 0.12%             | 2031-08-15      | Fixed         | 4.12%                 | 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      | $2669431.68   | 0.15%             | 2061-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                       | CITIGROUP INC SR UNSECURED 03/33 VAR                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1909790.30   | 0.10%             | 2033-03-17      | Floating      | 3.79%                 | Yes           |                  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      | $25503.79     | 0.00%             | 2035-12-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                  | ENERGY TRANSFER LP SR UNSECURED 09/34 5.6              | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6177808.74   | 0.34%             | 2034-09-01      | Fixed         | 5.60%                 | 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        |      86410 | PA      | $81603.61     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | 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        |      60275 | PA      | $53565.69     | 0.00%             | 2046-10-25      | Floating      | 4.09%                 | 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        |    2186001 | PA      | $2015122.16   | 0.11%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20260312                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $62111.67     | 0.00%             |  |  |  | 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        |      71056 | PA      | $45873.34     | 0.00%             | 2036-01-19      | Floating      | 4.35%                 | 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        |     107000 | PA      | $103821.85    | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL SR UNSECURED 06/29 5.45           | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     600000 | PA      | $611262.15    | 0.03%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-12993.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH BOW (6297782 LLC)                                             | SOUTH BOW USA INFRA HLDS COMPANY GUAR 10/29 5.026      | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2435394.41   | 0.13%             | 2029-10-01      | Fixed         | 5.03%                 | 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        |      27750 | PA      | $26423.02     | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | 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      | $413000.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | 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        |      57645 | PA      | $57012.56     | 0.00%             | 2035-12-25      | Floating      | 4.47%                 | 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      | $3777172.60   | 0.21%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $26126.45     | 0.00%             |  |  |  | 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        |     193306 | PA      | $89208.56     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | 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        |     381604 | PA      | $392279.48    | 0.02%             | 2047-09-25      | Floating      | 4.29%                 | 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        |      12228 | PA      | $6831.85      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | 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        |    6755609 | PA      | $6103737.78   | 0.33%             | 2046-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA 144A 10/29 VAR                                 | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    7500000 | PA      | $7960095.68   | 0.43%             | 2029-10-19      | Floating      | 6.71%                 | 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        |     186861 | PA      | $147642.41    | 0.01%             | 2037-10-25      | Floating      | 4.80%                 | 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        |      76196 | PA      | $31824.26     | 0.00%             | 2037-03-25      | 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        |       6269 | PA      | $6081.89      | 0.00%             | 2042-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260224                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $40458.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                          | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                  | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 3010000000 | PA      | $18634175.18  | 1.01%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-13360.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A        | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7390503 | PA      | $6340434.81   | 0.35%             | 2047-07-25      | Floating      | 4.84%                 | 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        |     168047 | PA      | $142227.91    | 0.01%             | 2035-05-25      | Floating      | 4.30%                 | 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        |     157447 | PA      | $153789.89    | 0.01%             | 2035-05-25      | Floating      | 4.90%                 | 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        |      50468 | PA      | $49290.55     | 0.00%             | 2034-05-25      | Floating      | 4.75%                 | 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      | $7017252.34   | 0.38%             | 2043-01-15      | Floating      | 5.23%                 | 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        |    5643918 | PA      | $6638489.17   | 0.36%             | 2032-07-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $59360.14     | 0.00%             |  |  |  | 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        |      81320 | PA      | $77369.50     | 0.00%             | 2045-11-25      | Floating      | 4.67%                 | No            |                  2 | 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        |     654388 | PA      | $198099.90    | 0.01%             | 2037-02-25      | Floating      | 4.19%                 | 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        |      55854 | PA      | $53202.30     | 0.00%             | 2035-06-25      | Floating      | 4.35%                 | 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        |       2209 | PA      | $2233.89      | 0.00%             | 2036-12-25      | Floating      | 4.56%                 | 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      | $3064500.00   | 0.17%             | 2054-06-28      | Fixed         | 6.40%                 | 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        |        520 | PA      | $521.37       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-7531.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-436.51      | -0.00%            |  |  |  | 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        |     128887 | PA      | $45570.11     | 0.00%             | 2036-08-25      | Floating      | 4.07%                 | 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        |      72284 | PA      | $53869.25     | 0.00%             | 2036-06-25      | Floating      | 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        |     144288 | PA      | $155750.74    | 0.01%             | 2033-02-25      | Floating      | 5.20%                 | 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        |     146898 | PA      | $145186.58    | 0.01%             | 2046-09-25      | Floating      | 4.23%                 | 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        |     407351 | PA      | $414187.10    | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | 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        |    2578251 | PA      | $894672.02    | 0.05%             | 2036-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                         | CANADIAN GOVERNMENT BONDS 12/34 3.25                   | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    7800000 | PA      | $5640691.60   | 0.31%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $152514.26    | 0.01%             |  |  |  | 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        |    1606126 | PA      | $929894.77    | 0.05%             | 2037-01-25      | Floating      | 4.31%                 | No            |                  2 | 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      | $8755673.40   | 0.48%             | 2027-01-15      | Fixed         | 2.62%                 | 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        |     306228 | PA      | $272090.95    | 0.01%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LTD                        | ROYAL BK SCOTLAND INTL LTD USD SR NT SER E             | CUSIP: 929QCQII3<br>LEI: 21380078CCZSEEIIKA41 | Long             | DBT              | CORP              | JE        |    6000000 | PA      | $5994780.00   | 0.33%             | 2028-12-16      | Fixed         | 4.66%                 | Yes           |                  3 | 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        |      21729 | PA      | $17583.93     | 0.00%             | 2035-11-25      | Floating      | 5.19%                 | 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      | $2075691.62   | 0.11%             | 2034-04-15      | Fixed         | 5.65%                 | 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        |     112814 | PA      | $47592.50     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48100000 | PA      | $48731226.88  | 2.65%             | 2056-02-15      | Fixed         | 5.50%                 | 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      | $4078948.55   | 0.22%             | 2037-04-25      | Floating      | 4.19%                 | 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        |    8000000 | PA      | $8350104.56   | 0.45%             | 2028-05-12      | Fixed         | 6.80%                 | 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        |      75991 | PA      | $75315.35     | 0.00%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5460.11     | -0.00%            |  |  |  | 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        |      12179 | PA      | $11567.62     | 0.00%             | 2035-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-4193.61     | -0.00%            |  |  |  | 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        |    2596563 | PA      | $743422.20    | 0.04%             | 2037-07-25      | Variable      | 5.96%                 | 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      | $4391562.74   | 0.24%             | 2029-10-23      | Fixed         | 6.35%                 | 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        |      19510 | PA      | $20984.37     | 0.00%             | 2046-08-25      | Floating      | 4.25%                 | 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        |      89707 | PA      | $44487.82     | 0.00%             | 2037-04-25      | Floating      | 4.18%                 | 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      | $3261242.91   | 0.18%             | 2034-07-01      | Fixed         | 6.38%                 | 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      | $4047489.80   | 0.22%             | 2034-10-15      | Fixed         | 5.00%                 | 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        |    2751407 | PA      | $2632286.08   | 0.14%             | 2046-01-25      | Floating      | 4.35%                 | 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        |     100100 | PA      | $94357.78     | 0.01%             | 2035-08-25      | Floating      | 4.36%                 | 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        |      47849 | PA      | $21533.17     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DOMINO'S PIZZA MASTER ISSUER LLC 2025-1A                            | DOMINOS PIZZA MASTER ISSUER LL DPABS 2025 1A A2I 144A  | CUSIP: 25755TAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10600000 | PA      | $10678356.26  | 0.58%             | 2055-07-25      | Fixed         | 4.93%                 | 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        |       4304 | PA      | $4263.82      | 0.00%             | 2040-05-25      | Floating      | 4.59%                 | 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        |     311086 | PA      | $278028.61    | 0.02%             | 2036-12-25      | Floating      | 4.19%                 | 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      | $-1422980.96  | -0.08%            |  |  |  | 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        |      16071 | PA      | $16024.15     | 0.00%             | 2034-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US LONG BOND(CBT) MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1025 | NC      | $-1937287.05  | -0.11%            |  |  |  | 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      | $1997506.98   | 0.11%             | 2034-01-15      | Floating      | 4.97%                 | 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        |     419549 | PA      | $405377.46    | 0.02%             | 2035-10-25      | Floating      | 4.08%                 | 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        |     122633 | PA      | $41021.01     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | 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        |      21510 | PA      | $21396.27     | 0.00%             | 2034-01-25      | Floating      | 6.21%                 | 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        |     275909 | PA      | $232562.86    | 0.01%             | 2047-04-25      | Floating      | 4.80%                 | 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        |   33684150 | PA      | $33506015.41  | 1.82%             | 2034-01-15      | Fixed         | 1.75%                 | 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        |      61715 | PA      | $60078.50     | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | 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        |      66433 | PA      | $62618.50     | 0.00%             | 2035-11-25      | Floating      | 3.94%                 | 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        |       9781 | PA      | $9748.33      | 0.00%             | 2033-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD MXN BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1080.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-39299.19    | -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      | $115461.66    | 0.01%             | 2028-05-09      | Fixed         | 1.62%                 | 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        |    2562265 | PA      | $2554291.39   | 0.14%             | 2060-12-27      | Variable      | 4.15%                 | 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      | $12659.38     | 0.00%             | 2032-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/45 4.875                            | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      50000 | PA      | $50500.00     | 0.00%             | 2045-08-15      | Fixed         | 4.88%                 | 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        |     320342 | PA      | $279187.51    | 0.02%             | 2037-04-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-10840.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                 | NOMURA HOLDINGS INC SR UNSECURED 07/34 5.783           | CUSIP: 65535HBV0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    2750000 | PA      | $2907799.15   | 0.16%             | 2034-07-03      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-47431.54    | -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        |     156344 | PA      | $82160.58     | 0.00%             | 2036-10-25      | Floating      | 4.00%                 | 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        |    2476628 | PA      | $2335453.43   | 0.13%             | 2036-01-25      | Floating      | 4.49%                 | 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        |      45400 | PA      | $34529.01     | 0.00%             | 2047-03-25      | Floating      | 4.75%                 | 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        |      28847 | PA      | $26107.25     | 0.00%             | 2046-09-20      | Floating      | 4.65%                 | 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        |     106777 | PA      | $60159.10     | 0.00%             | 2037-01-25      | Floating      | 4.29%                 | 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        |       3637 | PA      | $3468.39      | 0.00%             | 2035-08-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC 2025-1A                                       | QTS ISSUER ABS II LLC QTSII 2025 1A A2 144A            | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2482048.75   | 0.14%             | 2055-10-05      | Fixed         | 5.04%                 | 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      | $148004.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $38104.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION                                         | ONEMAIN FINANCE CORP COMPANY GUAR 01/28 6.625          | CUSIP: 85172FAQ2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     205000 | PA      | $211065.95    | 0.01%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYSTEM OF WEST                                     | ADVENTIST HEALTH SYS/W UNSECURED 12/30 4.742           | CUSIP: 007944AN1<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1305633.72   | 0.07%             | 2030-12-01      | Fixed         | 4.74%                 | 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      | $5130557.60   | 0.28%             | 2032-03-15      | Fixed         | 5.80%                 | 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      | $2935067.75   | 0.16%             | 2033-02-15      | Fixed         | 4.20%                 | 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        |     138710 | PA      | $126398.28    | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | 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        |      37407 | PA      | $30769.68     | 0.00%             | 2036-04-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                 | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1          | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110658 | PA      | $64341.16     | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | 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        |      82715 | PA      | $76683.90     | 0.00%             | 2046-10-25      | Floating      | 4.25%                 | 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        |      28781 | PA      | $28728.45     | 0.00%             | 2035-12-25      | Floating      | 4.82%                 | 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        |    1182974 | PA      | $690544.35    | 0.04%             | 2037-06-27      | Floating      | 4.49%                 | 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        |    7530453 | PA      | $5692139.02   | 0.31%             | 2047-10-25      | Floating      | 6.25%                 | 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        |      66645 | PA      | $62337.17     | 0.00%             | 2036-05-20      | Floating      | 4.03%                 | 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        |    2963649 | PA      | $3002254.24   | 0.16%             | 2063-10-25      | Fixed         | 7.16%                 | 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        |      28473 | PA      | $26269.79     | 0.00%             | 2036-02-25      | Floating      | 4.42%                 | 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        |        245 | PA      | $251.80       | 0.00%             | 2032-07-01      | Floating      | 6.64%                 | 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        |    1575643 | PA      | $1592959.12   | 0.09%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-9480.85     | -0.00%            |  |  |  | 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        |     842332 | PA      | $196291.27    | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-206088.04   | -0.01%            |  |  |  | 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        |      97535 | PA      | $29844.70     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6973.26      | 0.00%             |  |  |  | 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      | $2386411.28   | 0.13%             | 2072-03-15      | Fixed         | 7.23%                 | 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        |     191636 | PA      | $188717.73    | 0.01%             | 2035-08-25      | Floating      | 4.61%                 | 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        |     458377 | PA      | $389854.99    | 0.02%             | 2036-09-25      | Floating      | 4.46%                 | 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        |     551955 | PA      | $523264.96    | 0.03%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8519.41      | 0.00%             |  |  |  | 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        |        111 | PA      | $110.94       | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | 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        |     504646 | PA      | $469940.65    | 0.03%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  111050000 | PA      | $108322506.50 | 5.90%             | 2056-02-15      | Fixed         | 4.50%                 | 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        |     514346 | PA      | $487713.77    | 0.03%             | 2035-11-25      | Floating      | 5.31%                 | 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        |     267371 | PA      | $86169.58     | 0.00%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2388.84     | -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        |     273324 | PA      | $251829.55    | 0.01%             | 2034-06-25      | Floating      | 5.24%                 | 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      | $4057172.04   | 0.22%             | 2028-04-17      | Fixed         | 4.85%                 | 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      | $4439398.00   | 0.24%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER COMPANY                                           | APPALACHIAN POWER CO SR UNSECURED 04/34 5.65           | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1990920.47   | 0.11%             | 2034-04-01      | Fixed         | 5.65%                 | 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        |    3827440 | PA      | $3889560.44   | 0.21%             | 2037-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $7957.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                    | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15100000 | PA      | $15104626.94  | 0.82%             | 2034-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260129                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $221973.64    | 0.01%             |  |  |  | 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      | $2867151.01   | 0.16%             | 2032-01-23      | Fixed         | 6.38%                 | 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        |     172076 | PA      | $153581.53    | 0.01%             | 2035-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW (6297782 LLC)                                             | SOUTH BOW USA INFRA HLDS COMPANY GUAR 09/27 4.911      | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2019467.98   | 0.11%             | 2027-09-01      | Fixed         | 4.91%                 | 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        |      55297 | PA      | $42610.02     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | 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        |    2458492 | PA      | $2512656.91   | 0.14%             | 2041-02-20      | Floating      | 6.12%                 | 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      | $6205980.40   | 0.34%             | 2035-01-20      | Floating      | 5.14%                 | 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        |      22809 | PA      | $22635.55     | 0.00%             | 2035-04-25      | Floating      | 5.20%                 | 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      | $3490676.32   | 0.19%             | 2035-05-19      | Fixed         | 6.00%                 | 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      | $966311.40    | 0.05%             | 2032-11-10      | Fixed         | 3.43%                 | 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        |      40096 | PA      | $39626.24     | 0.00%             | 2035-06-25      | Floating      | 4.75%                 | 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        |     100719 | PA      | $98307.94     | 0.01%             | 2037-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/35 6            | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2103453.02   | 0.11%             | 2035-08-15      | Fixed         | 6.00%                 | 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        |      28338 | PA      | $27316.24     | 0.00%             | 2036-01-25      | Variable      | 5.08%                 | 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        |      19079 | PA      | $17091.56     | 0.00%             | 2038-01-19      | Floating      | 4.23%                 | 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        |     117319 | PA      | $41731.23     | 0.00%             | 2036-05-25      | Variable      | 6.85%                 | 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        |     136900 | PA      | $70790.42     | 0.00%             | 2037-04-25      | Floating      | 4.08%                 | 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        |     573574 | PA      | $318130.72    | 0.02%             | 2037-11-25      | Floating      | 4.15%                 | 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        |     218734 | PA      | $206794.46    | 0.01%             | 2034-03-25      | Fixed         | 7.50%                 | 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        |      41572 | PA      | $39569.01     | 0.00%             | 2037-01-25      | Floating      | 4.23%                 | 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        |    3689997 | PA      | $3672137.73   | 0.20%             | 2068-02-27      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $75702.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-27814.13    | -0.00%            |  |  |  | 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      | $5175003.25   | 0.28%             | 2034-03-20      | Fixed         | 5.40%                 | 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      | $990176.40    | 0.05%             | 2035-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4143.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-392112.48   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA BONDS 01/44 8.75              | CUSIP: BPXR8CII6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   36814000 | PA      | $2140102.75   | 0.12%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     614000 | PA      | $607458.38    | 0.03%             | 2026-04-21      | None          | 0.00%                 | 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        |     833918 | PA      | $495131.74    | 0.03%             | 2036-11-25      | Floating      | 4.00%                 | 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        |      57510 | PA      | $52902.44     | 0.00%             | 2035-07-25      | Floating      | 4.37%                 | 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        |      61673 | PA      | $61066.48     | 0.00%             | 2034-10-25      | Floating      | 4.85%                 | 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        |       1523 | PA      | $1524.25      | 0.00%             | 2029-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $13.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AURIUM CLO III DAC 3A                                               | AURIUM CLO ACLO 3A AR 144A                             | CUSIP: ACI1FVVB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1074988 | PA      | $1263965.98   | 0.07%             | 2030-04-16      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-10251.74    | -0.00%            |  |  |  | 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        |      55503 | PA      | $26680.03     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | 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      | $215933.18    | 0.01%             |  |  |  | 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        |     209989 | PA      | $143533.29    | 0.01%             | 2036-04-25      | Floating      | 4.39%                 | 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        |      55311 | PA      | $26769.12     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |     561555 | PA      | $130937.89    | 0.01%             | 2036-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                               | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A       | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1646683.41   | 0.09%             | 2036-08-29      | Floating      | 3.33%                 | 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      | $164186.11    | 0.01%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SL2526 FR 09/55 FIXED 6              | CUSIP: 31427PYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9302462 | PA      | $9790806.65   | 0.53%             | 2055-09-01      | Fixed         | 6.00%                 | 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      | $2924542.23   | 0.16%             | 2030-09-17      | Fixed         | 4.81%                 | 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        |        505 | PA      | $504.82       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | 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      | $280456.83    | 0.02%             | 2036-02-25      | Floating      | 4.39%                 | 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        |      70180 | PA      | $44025.69     | 0.00%             | 2036-02-25      | Floating      | 4.53%                 | 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      | $114521.88    | 0.01%             | 2046-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1309.38      | 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        |    1834491 | PA      | $1892274.29   | 0.10%             | 2038-08-15      | Fixed         | 5.45%                 | 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        |      89941 | PA      | $121293.06    | 0.01%             | 2041-10-13      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $720.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                              | SAMMONS FINANCIAL GLOBAL SR SECURED 144A 12/30 4.8     | CUSIP: 79587J2E2<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |   10250000 | PA      | $10279229.31  | 0.56%             | 2030-12-12      | Fixed         | 4.80%                 | 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        |      16116 | PA      | $13400.21     | 0.00%             | 2036-02-25      | Floating      | 4.59%                 | 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        |     144001 | PA      | $135268.45    | 0.01%             | 2047-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260224                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $16824.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $266611.58    | 0.01%             |  |  |  | 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        |     958825 | PA      | $955216.31    | 0.05%             | 2036-06-25      | Floating      | 4.35%                 | 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      | $3428587.42   | 0.19%             | 2035-01-17      | Fixed         | 6.03%                 | 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        |     268919 | PA      | $162930.12    | 0.01%             | 2035-07-25      | Floating      | 4.72%                 | 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        |     556168 | PA      | $532123.72    | 0.03%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-255504.69   | -0.01%            |  |  |  | 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        |      24675 | PA      | $23726.41     | 0.00%             | 2034-11-25      | Floating      | 4.80%                 | 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        |     115231 | PA      | $86851.34     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A  | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3914879 | PA      | $3846207.51   | 0.21%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13      | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2266128 | PA      | $2196084.49   | 0.12%             | 2036-12-19      | Floating      | 4.33%                 | 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        |    1329014 | PA      | $1343338.63   | 0.07%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                           | BANCO BILBAO VIZCAYA ARG SR UNSECURED 03/35 VAR        | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    5000000 | PA      | $5316246.00   | 0.29%             | 2035-03-13      | Floating      | 6.03%                 | 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        |     421915 | PA      | $314404.31    | 0.02%             | 2035-08-25      | Floating      | 3.66%                 | 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      | $13043.99     | 0.00%             | 2036-10-25      | Fixed         | 4.90%                 | 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        |   10156028 | PA      | $9155472.39   | 0.50%             | 2047-06-25      | Floating      | 4.05%                 | 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      | $31993.63     | 0.00%             |  |  |  | Yes           |                  3 | 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        |      40171 | PA      | $42255.58     | 0.00%             | 2037-03-26      | Floating      | 3.20%                 | 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        |      41245 | PA      | $33476.89     | 0.00%             | 2035-09-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $17366.33     | 0.00%             |  |  |  | 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        |     123880 | PA      | $61928.93     | 0.00%             | 2046-12-25      | Floating      | 4.31%                 | 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      | $-53991.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-27680.55    | -0.00%            |  |  |  | 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        |      32216 | PA      | $29741.90     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $14320.07     | 0.00%             |  |  |  | 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        |       2129 | PA      | $2181.27      | 0.00%             | 2032-10-01      | Floating      | 6.38%                 | 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      | $1729281.38   | 0.09%             | 2035-03-15      | Fixed         | 5.95%                 | 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        |      61644 | PA      | $35180.51     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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      | $3166266.51   | 0.17%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                       | BGC GROUP INC SR UNSECURED 04/30 6.15                  | CUSIP: 05555LAD3<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4147659.60   | 0.23%             | 2030-04-02      | Fixed         | 6.15%                 | 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      | $2476885.42   | 0.13%             | 2035-07-22      | Floating      | 5.29%                 | 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        |     160070 | PA      | $158716.91    | 0.01%             | 2035-10-25      | Floating      | 4.60%                 | 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      | $4341204.54   | 0.24%             | 2057-08-15      | Fixed         | 2.95%                 | 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        |     897020 | PA      | $810288.99    | 0.04%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                    | PROJECT CASHMERE CLASS B 144A                          | CUSIP: 990ABJRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    2500000 | PA      | $1668375.08   | 0.09%             | 2057-12-30      | Floating      | 5.86%                 | No            |                  3 | On Loan: No      |
| PROJECT CASHMERE                                                    | PROJECT CASHMERE CLASS A2 144A                         | CUSIP: 990ABJRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    3600000 | PA      | $2402460.12   | 0.13%             | 2057-12-30      | Floating      | 5.71%                 | No            |                  3 | 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        |    4377569 | PA      | $1766716.00   | 0.10%             | 2037-10-26      | Fixed         | 6.50%                 | 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      | $141161.36    | 0.01%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-41761.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260224                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $17165.45     | 0.00%             |  |  |  | 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        |     585844 | PA      | $585067.73    | 0.03%             | 2033-10-25      | Floating      | 4.82%                 | 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        |      92997 | PA      | $35722.20     | 0.00%             | 2037-11-25      | Variable      | 6.25%                 | 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        |     249414 | PA      | $213383.16    | 0.01%             | 2046-12-25      | Floating      | 6.27%                 | 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        |      96334 | PA      | $90091.58     | 0.00%             | 2037-04-28      | Floating      | 3.84%                 | 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        |      68446 | PA      | $22101.16     | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | 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        |     184920 | PA      | $45226.80     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | 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        |     357517 | PA      | $167727.23    | 0.01%             | 2036-11-25      | Floating      | 4.25%                 | 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        |     150608 | PA      | $147622.20    | 0.01%             | 2036-08-25      | Floating      | 4.16%                 | 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        |      13479 | PA      | $11868.34     | 0.00%             | 2029-11-25      | Floating      | 4.51%                 | 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      | $2478190.97   | 0.13%             | 2035-02-15      | Floating      | 4.06%                 | 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        |     295456 | PA      | $126415.37    | 0.01%             | 2037-03-25      | Floating      | 4.10%                 | 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        |      14168 | PA      | $13208.09     | 0.00%             | 2037-03-25      | Floating      | 4.18%                 | 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        |     171224 | PA      | $232673.92    | 0.01%             | 2040-04-13      | Fixed         | 5.74%                 | 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      | $1679600.00   | 0.09%             | 2030-05-13      | Fixed         | 6.00%                 | 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      | $1657326.23   | 0.09%             | 2036-02-10      | Fixed         | 3.54%                 | 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      | $3227263.97   | 0.18%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7496.49     | -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      | $24044.90     | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | 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        |      98569 | PA      | $86349.56     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | 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      | $2261446.48   | 0.12%             | 2030-05-06      | Fixed         | 5.35%                 | 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      | $1119704.47   | 0.06%             | 2034-12-25      | Floating      | 5.12%                 | 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        |     946231 | PA      | $847631.29    | 0.05%             | 2035-07-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R2                                  | VERUS SECURITIZATION TRUST VERUS 2025 R2 A1 144A       | CUSIP: 92541EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $3109971.77   | 0.17%             | 2067-07-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $12187.36     | 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      | $78611.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1.74         | 0.00%             |  |  |  | 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        |     133217 | PA      | $100581.13    | 0.01%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-15006.62    | -0.00%            |  |  |  | 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      | $2720928.25   | 0.15%             | 2040-01-05      | Fixed         | 1.97%                 | 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        |     167139 | PA      | $61072.88     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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      | $140667.94    | 0.01%             |  |  |  | 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        |      74099 | PA      | $53125.56     | 0.00%             | 2035-11-19      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75              | CUSIP: S6989ZAQ7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   22640000 | PA      | $1319176.47   | 0.07%             | 2048-02-28      | Fixed         | 8.75%                 | 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      | $3384084.03   | 0.18%             | 2036-08-25      | Variable      | 6.25%                 | 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      | $40712.06     | 0.00%             | 2035-11-25      | Floating      | 6.12%                 | 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        |     160109 | PA      | $109221.46    | 0.01%             | 2047-07-25      | Floating      | 4.21%                 | 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      | $-1657226.78  | -0.09%            |  |  |  | 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        |    3724850 | PA      | $3780472.12   | 0.21%             | 2049-09-15      | Fixed         | 5.33%                 | 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        |      16635 | PA      | $16613.73     | 0.00%             | 2035-10-25      | Floating      | 5.98%                 | No            |                  2 | 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        |      71630 | PA      | $70368.96     | 0.00%             | 2033-08-25      | Floating      | 5.24%                 | 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      | $4134577.40   | 0.23%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | AUST 10Y BOND FUT MAR26 XSFE 20260316                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        951 | NC      | $120882.13    | 0.01%             |  |  |  | No            |                  1 | 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      | $5222346.15   | 0.28%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| DOMINO'S PIZZA MASTER ISSUER LLC 2025-1A                            | DOMINOS PIZZA MASTER ISSUER LL DPABS 2025 1A A2II 144A | CUSIP: 25755TAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6700000 | PA      | $6766252.28   | 0.37%             | 2055-07-25      | Fixed         | 5.22%                 | 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      | $38486.41     | 0.00%             |  |  |  | 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        |      19628 | PA      | $19617.42     | 0.00%             | 2035-06-25      | Floating      | 4.84%                 | 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        |     154307 | PA      | $154818.56    | 0.01%             | 2046-12-25      | Floating      | 4.25%                 | 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        |      15501 | PA      | $15389.45     | 0.00%             | 2035-03-25      | Floating      | 4.55%                 | 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        |    1833303 | PA      | $1827375.35   | 0.10%             | 2057-07-25      | Fixed         | 4.95%                 | 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        |      53339 | PA      | $45082.68     | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | 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        |      12723 | PA      | $11511.62     | 0.00%             | 2035-09-25      | Floating      | 5.11%                 | 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        |    1060029 | PA      | $941985.52    | 0.05%             | 2037-01-25      | Floating      | 4.29%                 | 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        |     391874 | PA      | $388613.45    | 0.02%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/34 6.125      | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4066414.76   | 0.22%             | 2034-03-08      | Fixed         | 6.12%                 | 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        |      82001 | PA      | $81402.09     | 0.00%             | 2036-07-25      | Floating      | 4.25%                 | 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        |     351232 | PA      | $317220.63    | 0.02%             | 2047-11-25      | Floating      | 5.28%                 | No            |                  2 | 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      | $7506858.83   | 0.41%             | 2034-10-20      | Floating      | 5.08%                 | 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        |      55321 | PA      | $52702.43     | 0.00%             | 2034-03-19      | Floating      | 4.55%                 | 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        |    9730539 | PA      | $8724242.78   | 0.47%             | 2037-05-25      | Floating      | 4.02%                 | 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        |     269533 | PA      | $257095.92    | 0.01%             | 2037-08-25      | Floating      | 4.13%                 | 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        |      58077 | PA      | $50595.51     | 0.00%             | 2047-09-20      | Floating      | 4.49%                 | 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      | $1268901.41   | 0.07%             |  |  |  | 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      | $92471914.48  | 5.03%             | 2029-10-05      | Fixed         | 2.88%                 | 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        |     523816 | PA      | $135591.84    | 0.01%             | 2036-11-25      | Fixed         | 6.50%                 | 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      | $656120.36    | 0.04%             | 2029-08-15      | Fixed         | 4.62%                 | 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        |        794 | PA      | $794.70       | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75         | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2543940.48   | 0.14%             | 2044-02-15      | Fixed         | 4.75%                 | 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      | $3160319.43   | 0.17%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $14789.56     | 0.00%             |  |  |  | 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        |    4209406 | PA      | $3987592.14   | 0.22%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581       | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   71150000 | PA      | $75234624.74  | 4.10%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-128.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $4774.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-923.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $29559.53     | 0.00%             |  |  |  | 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        |      29506 | PA      | $29387.76     | 0.00%             | 2035-10-25      | Floating      | 4.63%                 | 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        |    2841460 | PA      | $2769308.62   | 0.15%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1313.14      | 0.00%             |  |  |  | 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      | $408998.79    | 0.02%             | 2054-03-15      | Fixed         | 6.75%                 | 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        |        443 | PA      | $459.75       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | 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        |      87357 | PA      | $81706.34     | 0.00%             | 2036-03-25      | Floating      | 4.39%                 | 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        |       6250 | PA      | $6403.51      | 0.00%             | 2033-01-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                        | DELOITTE LLP SR UNSEC F                                | CUSIP: 955GHA901<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     900000 | PA      | $894273.17    | 0.05%             | 2045-01-30      | Fixed         | 5.97%                 | Yes           |                  3 | 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        |       1220 | PA      | $1239.92      | 0.00%             | 2029-09-25      | Floating      | 4.51%                 | 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        |        388 | PA      | $388.81       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | 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        |       2569 | PA      | $83.02        | 0.00%             | 2045-07-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260223                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $51685.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $53043.85     | 0.00%             |  |  |  | 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        |    1307927 | PA      | $1376278.99   | 0.07%             | 2041-10-15      | Floating      | 8.61%                 | 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        |      13492 | PA      | $18792.08     | 0.00%             | 2036-11-25      | Floating      | 4.21%                 | 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      | $3542.31      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-622.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $43287.90     | 0.00%             |  |  |  | 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        |      55277 | PA      | $55267.23     | 0.00%             | 2043-09-25      | Floating      | 4.49%                 | 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        |      77523 | PA      | $77488.07     | 0.00%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| UPG HI ISSUER TRUST 2025-2                                          | UPG HI ISSUER TRUST UPGHI 2025 2 A 144A                | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8100000 | PA      | $8102348.19   | 0.44%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $28333.34     | 0.00%             |  |  |  | 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        |      46938 | PA      | $43117.23     | 0.00%             | 2037-03-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1861.30      | 0.00%             |  |  |  | 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        |     100656 | PA      | $92668.80     | 0.01%             | 2036-10-25      | Floating      | 6.50%                 | 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        |    2741898 | PA      | $2548289.38   | 0.14%             | 2066-11-25      | Variable      | 2.82%                 | 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        |      79853 | PA      | $75784.75     | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | 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        |     366784 | PA      | $365047.85    | 0.02%             | 2037-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2246                                                    | FREDDIE MAC FHR 2246 Z                                 | CUSIP: 3133TPLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6608 | PA      | $6895.29      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | 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        |     552164 | PA      | $502185.71    | 0.03%             | 2035-05-25      | Floating      | 4.31%                 | 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        |    2069819 | PA      | $1940781.27   | 0.11%             | 2037-09-25      | Floating      | 4.25%                 | 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        |      56483 | PA      | $34641.18     | 0.00%             | 2035-12-25      | Floating      | 4.16%                 | 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        |     741828 | PA      | $648199.73    | 0.04%             | 2037-02-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                  | ESSEX PORTFOLIO LP COMPANY GUAR 04/34 5.5              | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5192638.20   | 0.28%             | 2034-04-01      | Fixed         | 5.50%                 | 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      | $493443.65    | 0.03%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-22987.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A    | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2300000 | PA      | $2703300.01   | 0.15%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $241.42       | 0.00%             |  |  |  | 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      | $5574958.67   | 0.30%             | 2028-10-25      | Fixed         | 6.75%                 | 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        |      91972 | PA      | $91185.87     | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2466                                                    | FREDDIE MAC FHR 2466 FV                                | CUSIP: 31392MP22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        914 | PA      | $914.61       | 0.00%             | 2032-03-15      | Floating      | 4.65%                 | 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        |    2826290 | PA      | $2827848.89   | 0.15%             | 2031-07-15      | Floating      | 5.26%                 | 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        |       1025 | PA      | $1024.89      | 0.00%             | 2035-10-25      | Floating      | 4.54%                 | 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        |         79 | PA      | $78.66        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3668.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $11164.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-21799.50    | -0.00%            |  |  |  | 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        |      37660 | PA      | $35251.96     | 0.00%             | 2035-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                             | GA GLOBAL FUNDING TRUST SECURED 144A 09/30 4.5         | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4950011.05   | 0.27%             | 2030-09-18      | Fixed         | 4.50%                 | 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      | $452459.20    | 0.02%             | 2037-04-25      | Floating      | 4.19%                 | 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        |      51732 | PA      | $38826.26     | 0.00%             | 2037-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PRIVATE CREDIT FUND                                   | GOLUB CAPITAL CAP FND SR UNSECURED 144A 08/28 5.45     | CUSIP: 38179RAE5<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4633734.93   | 0.25%             | 2028-08-15      | Fixed         | 5.45%                 | 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        |        220 | PA      | $224.99       | 0.00%             | 2032-10-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SL0421 FR 02/55 FIXED 6              | CUSIP: 31427MPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9424034 | PA      | $9900737.11   | 0.54%             | 2055-02-01      | Fixed         | 6.00%                 | 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        |     177961 | PA      | $100293.06    | 0.01%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                      | EPH FIN INTERNATIONAL AS COMPANY GUAR REGS 11/28 6.651 | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |    6000000 | PA      | $7616926.52   | 0.41%             | 2028-11-13      | Fixed         | 6.65%                 | 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        |    4407753 | PA      | $3597196.66   | 0.20%             | 2036-12-19      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/55 4.75                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61000000 | PA      | $59989687.50  | 3.27%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL SERVICES US CORP                               | STELLANTIS FINANCIAL SER SR UNSECURED 144A 09/30 5.4   | CUSIP: 85855FAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2032039.48   | 0.11%             | 2030-09-15      | Fixed         | 5.40%                 | 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      | $2769548.68   | 0.15%             | 2034-08-09      | Fixed         | 5.25%                 | 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        |      55838 | PA      | $55543.62     | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | 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      | $7012733.49   | 0.38%             | 2034-10-15      | Floating      | 5.18%                 | 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        |     188770 | PA      | $158561.06    | 0.01%             | 2047-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-22621.23    | -0.00%            |  |  |  | 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        |      38157 | PA      | $32946.15     | 0.00%             | 2036-01-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260112                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1884.50     | -0.00%            |  |  |  | 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        |      66609 | PA      | $35239.81     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-11584.65    | -0.00%            |  |  |  | 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        |     280622 | PA      | $71014.77     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | 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        |    2566098 | PA      | $2326400.95   | 0.13%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORPORATION                                             | BLACK HILLS CORP SR UNSECURED 01/35 6                  | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4377671.15   | 0.24%             | 2035-01-15      | Fixed         | 6.00%                 | 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      | $11898502.86  | 0.65%             | 2034-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6471.01      | 0.00%             |  |  |  | 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        |          4 | PA      | $3.57         | 0.00%             | 2029-02-01      | Floating      | 6.50%                 | 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        |      55700 | PA      | $53824.85     | 0.00%             | 2035-06-25      | Floating      | 4.57%                 | 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        |    9289876 | PA      | $8835378.91   | 0.48%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $6584.92      | 0.00%             |  |  |  | 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      | $2474128.15   | 0.13%             | 2032-02-15      | Fixed         | 5.38%                 | 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      | $4187354.23   | 0.23%             | 2030-02-10      | Fixed         | 5.90%                 | 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        |     636408 | PA      | $550360.46    | 0.03%             | 2036-06-25      | Floating      | 3.40%                 | 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        |      49860 | PA      | $46964.07     | 0.00%             | 2047-05-25      | Floating      | 4.25%                 | 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        |     326295 | PA      | $319004.96    | 0.02%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $271.14       | 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        |      44661 | PA      | $42835.16     | 0.00%             | 2035-09-25      | Floating      | 4.95%                 | 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      | $1833017.67   | 0.10%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B5                                    | BENCHMARK MORTGAGE TRUST BMARK 2018 B5 A2              | CUSIP: 08160BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3262080 | PA      | $3243137.27   | 0.18%             | 2051-07-15      | Fixed         | 4.08%                 | 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      | $20597442.60  | 1.12%             | 2034-04-21      | Floating      | 5.25%                 | 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        |    3066577 | PA      | $2951149.88   | 0.16%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260112                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-9725.48     | -0.00%            |  |  |  | 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        |       5187 | PA      | $5005.35      | 0.00%             | 2035-10-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                 | COMMONSPIRIT HEALTH SR UNSECURED 09/55 5.662           | CUSIP: 20268JBC6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5609519.88   | 0.31%             | 2055-09-01      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2909.06      | 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        |     824378 | PA      | $809145.34    | 0.04%             | 2037-04-25      | Floating      | 4.53%                 | 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        |    1191346 | PA      | $907348.06    | 0.05%             | 2036-08-25      | Floating      | 3.63%                 | 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        |     326168 | PA      | $150300.69    | 0.01%             | 2037-08-25      | Floating      | 6.00%                 | 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        |      27169 | PA      | $26539.62     | 0.00%             | 2037-06-25      | Floating      | 4.32%                 | 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        |      14672 | PA      | $10523.92     | 0.00%             | 2037-11-25      | Floating      | 5.71%                 | 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        |      17965 | PA      | $15609.56     | 0.00%             | 2046-07-20      | Floating      | 4.27%                 | 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        |       6480 | PA      | $6066.38      | 0.00%             | 2029-04-25      | Floating      | 4.31%                 | 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        |      27693 | PA      | $28358.98     | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | 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        |     795221 | PA      | $800002.87    | 0.04%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260302                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $30639.90     | 0.00%             |  |  |  | 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        |    5464644 | PA      | $4561596.62   | 0.25%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |      73003 | PA      | $63379.78     | 0.00%             | 2036-02-25      | Floating      | 5.82%                 | 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        |      18256 | PA      | $16984.63     | 0.00%             | 2037-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-10232.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260227                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $17687.28     | 0.00%             |  |  |  | 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      | $2073479.50   | 0.11%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $11495.01     | 0.00%             |  |  |  | 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      | $2544360.57   | 0.14%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                               | CROWN CASTLE INC SR UNSECURED 09/34 5.2                | CUSIP: 22822VBG5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3031983.48   | 0.17%             | 2034-09-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55         | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1294959.32   | 0.07%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1.58        | -0.00%            |  |  |  | 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        |    3948164 | PA      | $3606428.09   | 0.20%             | 2037-08-25      | Floating      | 4.90%                 | 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        |      80194 | PA      | $71281.73     | 0.00%             | 2035-12-25      | Floating      | 4.51%                 | 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      | $1061446.39   | 0.06%             | 2031-05-19      | Floating      | 5.62%                 | 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        |      45935 | PA      | $19815.01     | 0.00%             | 2037-08-25      | Variable      | 3.72%                 | 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        |     256687 | PA      | $244766.66    | 0.01%             | 2036-01-25      | Floating      | 4.39%                 | 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        |     551806 | PA      | $499129.92    | 0.03%             | 2047-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                               | GLP CAPITAL LP / FIN II COMPANY GUAR 09/34 5.625       | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1523067.54   | 0.08%             | 2034-09-15      | Fixed         | 5.62%                 | 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        |       9900 | PA      | $9429.69      | 0.00%             | 2034-09-25      | Floating      | 4.59%                 | 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        |      56369 | PA      | $53686.73     | 0.00%             | 2036-09-25      | Floating      | 4.41%                 | 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        |    3745278 | PA      | $3699381.61   | 0.20%             | 2028-11-01      | Fixed         | 3.38%                 | 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        |     291002 | PA      | $270806.36    | 0.01%             | 2047-09-25      | Floating      | 4.23%                 | 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        |     212681 | PA      | $75194.37     | 0.00%             | 2036-08-25      | Floating      | 4.15%                 | 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        |      14879 | PA      | $14848.98     | 0.00%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                           | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4           | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     600000 | PA      | $178139.89    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | 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        |      21590 | PA      | $20018.03     | 0.00%             | 2036-05-20      | Floating      | 4.37%                 | 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        |    3400000 | PA      | $3811942.64   | 0.21%             | 2040-07-01      | Fixed         | 7.17%                 | 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      | $987545.00    | 0.05%             | 2039-07-15      | Floating      | 4.77%                 | 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        |     710932 | PA      | $412115.23    | 0.02%             | 2047-02-25      | Floating      | 4.75%                 | 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        |     411256 | PA      | $387451.29    | 0.02%             | 2035-12-25      | Floating      | 4.37%                 | 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        |      43569 | PA      | $25677.55     | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | 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        |      72375 | PA      | $72791.19     | 0.00%             | 2036-01-25      | Floating      | 4.42%                 | 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        |      21732 | PA      | $20862.81     | 0.00%             | 2035-05-25      | Floating      | 5.41%                 | 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        |     708454 | PA      | $230245.57    | 0.01%             | 2036-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1527.91      | 0.00%             |  |  |  | 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      | $1007707.06   | 0.05%             | 2028-05-15      | Fixed         | 4.70%                 | 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        |       4582 | PA      | $4600.98      | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-21190.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                 | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85 | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6605000 | PA      | $6040021.51   | 0.33%             | 2050-06-01      | Fixed         | 3.85%                 | 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        |     125948 | PA      | $54627.09     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | CAN 10YR BOND FUT MAR26 XMOD 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        125 | NC      | $-138504.06   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $854.36       | 0.00%             |  |  |  | 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        |          2 | PA      | $2.18         | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36500000 | PA      | $37942261.37  | 2.07%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2436.08      | 0.00%             |  |  |  | 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        |     193608 | PA      | $78675.38     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | 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        |       3743 | PA      | $3650.75      | 0.00%             | 2041-03-25      | Floating      | 5.38%                 | 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      | $-351878.13   | -0.02%            |  |  |  | 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        |      12099 | PA      | $10857.18     | 0.00%             | 2033-03-25      | Floating      | 5.10%                 | 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        |      10336 | PA      | $20738.95     | 0.00%             | 2034-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $18779.52     | 0.00%             |  |  |  | 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      | $2029006.32   | 0.11%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                    | PUGET ENERGY INC SR SECURED 03/35 5.725                | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3087302.79   | 0.17%             | 2035-03-15      | Fixed         | 5.72%                 | 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        |      14893 | PA      | $14299.21     | 0.00%             | 2035-06-25      | Floating      | 4.52%                 | 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        |      36204 | PA      | $35372.21     | 0.00%             | 2035-04-20      | Floating      | 5.42%                 | 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      | $2324174.90   | 0.13%             | 2037-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2575.46      | 0.00%             |  |  |  | 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        |       8948 | PA      | $9165.52      | 0.00%             | 2033-05-01      | Floating      | 6.37%                 | 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        |     149564 | PA      | $141334.72    | 0.01%             | 2035-02-25      | Floating      | 4.59%                 | 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      | $74491.49     | 0.00%             |  |  |  | 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        |     309139 | PA      | $306677.62    | 0.02%             | 2045-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                       | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A    | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9000000 | PA      | $9016223.40   | 0.49%             | 2042-11-19      | Floating      | 5.18%                 | 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        |     186648 | PA      | $175165.27    | 0.01%             | 2036-11-25      | Floating      | 4.11%                 | 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        |     633317 | PA      | $619606.84    | 0.03%             | 2036-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                            | BROADSTONE NET LEASE LLC COMPANY GUAR 11/32 5          | CUSIP: 11134GAA8<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2911746.83   | 0.16%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2993.28     | -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        |      62623 | PA      | $29705.23     | 0.00%             | 2035-12-19      | Variable      | 4.80%                 | 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        |       4731 | PA      | $4571.45      | 0.00%             | 2035-01-25      | Floating      | 4.89%                 | 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      | $3598786.48   | 0.20%             | 2034-08-20      | Floating      | 4.93%                 | 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        |     148664 | PA      | $138243.54    | 0.01%             | 2047-05-25      | Floating      | 4.29%                 | 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        |       7215 | PA      | $7078.61      | 0.00%             | 2036-06-25      | Floating      | 6.07%                 | 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        |    2478070 | PA      | $2481098.72   | 0.14%             | 2033-10-20      | Floating      | 4.99%                 | 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        |      84899 | PA      | $68546.21     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-76.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20260203                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-9221.19     | -0.00%            |  |  |  | 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        |     118155 | PA      | $30953.32     | 0.00%             | 2036-09-25      | Variable      | 6.58%                 | 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      | $11642564.24  | 0.63%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-17930.76    | -0.00%            |  |  |  | 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        |      84267 | PA      | $80878.20     | 0.00%             | 2036-08-25      | Floating      | 4.33%                 | 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        |    2964312 | PA      | $2615772.98   | 0.14%             | 2056-08-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3529.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                     | MAREX GROUP PLC SR UNSECURED 05/28 5.829               | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4068448.80   | 0.22%             | 2028-05-08      | Fixed         | 5.83%                 | 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        |     157549 | PA      | $141317.34    | 0.01%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25              | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   30174000 | PA      | $1557914.96   | 0.08%             | 2036-03-31      | Fixed         | 6.25%                 | 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      | $2974339.59   | 0.16%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-AA ASSET-BACKED NOTES | FORD AUTO SECURITIZATION TRUST FASTR 2024 AA A3 144A   | CUSIP: 345214BL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2400000 | PA      | $1808121.81   | 0.10%             | 2030-03-15      | Fixed         | 4.97%                 | 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      | $2625395.25   | 0.14%             | 2035-03-01      | Fixed         | 5.75%                 | 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        |     975645 | PA      | $881069.40    | 0.05%             | 2047-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-253754.72   | -0.01%            |  |  |  | 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        |     109159 | PA      | $105805.65    | 0.01%             | 2035-10-25      | Floating      | 6.42%                 | 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        |       3992 | PA      | $3809.72      | 0.00%             | 2035-07-25      | Floating      | 5.60%                 | 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        |        100 | PA      | $100.22       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | 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      | $27269.92     | 0.00%             | 2036-11-25      | Floating      | 4.14%                 | 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      | $5492834.71   | 0.30%             | 2040-02-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                               | GLP CAPITAL LP / FIN II COMPANY GUAR 11/37 5.75        | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3992979.20   | 0.22%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-129.98      | -0.00%            |  |  |  | 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        |     978483 | PA      | $337194.38    | 0.02%             | 2036-10-25      | Fixed         | 6.25%                 | 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        |      10871 | PA      | $10852.75     | 0.00%             | 2035-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                            | SCE RECOVERY FUNDING LLC SR SECURED 03/47 5.341        | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5013110.70   | 0.27%             | 2047-03-15      | Fixed         | 5.34%                 | 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        |     150009 | PA      | $100845.40    | 0.01%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-746.30      | -0.00%            |  |  |  | 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        |     139634 | PA      | $23898.47     | 0.00%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-32566.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6120.37      | 0.00%             |  |  |  | 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      | $2580772.91   | 0.14%             | 2031-06-30      | Fixed         | 3.36%                 | 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        |      21522 | PA      | $18608.95     | 0.00%             | 2045-07-19      | Floating      | 4.61%                 | 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        |      96403 | PA      | $96530.38     | 0.01%             | 2036-10-25      | Floating      | 4.75%                 | 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        |     141444 | PA      | $62912.33     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | 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      | $1496230.46   | 0.08%             | 2031-06-04      | Floating      | 2.85%                 | 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        |     585279 | PA      | $376762.74    | 0.02%             | 2035-05-25      | Fixed         | 7.00%                 | 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        |      33058 | PA      | $32741.55     | 0.00%             | 2036-01-25      | Floating      | 4.45%                 | 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        |     106671 | PA      | $50896.49     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |       4368 | PA      | $4363.63      | 0.00%             | 2029-07-25      | Floating      | 5.03%                 | 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        |      95491 | PA      | $18494.54     | 0.00%             | 2037-02-25      | Floating      | 4.31%                 | 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        |       2094 | PA      | $2090.66      | 0.00%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD 2021-25A                                       | SYMPHONY CLO LTD SYMP 2021 25A AR 144A                 | CUSIP: 87167WDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2899888.47   | 0.16%             | 2034-04-19      | Floating      | 4.87%                 | 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      | $6000000.00   | 0.33%             | 2036-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  326900000 | PA      | $281964021.98 | 15.35%            | 2056-02-19      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAYFRT-7A                                                           | BAYFRONT IABS VII PTE. LTD. BAYFRT 7A A 144A           | CUSIP: ACI355GJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | SG        |    3000000 | PA      | $3000000.00   | 0.16%             | 2048-04-11      | Floating      | 5.12%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1159.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | PEMEX LA SP CBK                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3451.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TRY BOUGHT USD 20260223                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-29.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $494234.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                    | ROMARK CLO LTD RMRK 2021 5A AR 144A                    | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $5604118.35   | 0.31%             | 2035-01-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-3865.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4082.19      | 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        |     198061 | PA      | $130765.43    | 0.01%             | 2036-08-25      | Floating      | 4.08%                 | 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        |     158275 | PA      | $155311.27    | 0.01%             | 2034-11-25      | Floating      | 4.83%                 | 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        |    3656063 | PA      | $1974462.20   | 0.11%             | 2036-05-25      | Floating      | 4.13%                 | 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        |      98478 | PA      | $43780.54     | 0.00%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7          | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4966509.74   | 0.27%             | 2053-04-01      | Fixed         | 6.70%                 | 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        |     159480 | PA      | $113527.29    | 0.01%             | 2037-04-25      | Floating      | 4.15%                 | 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        |     153590 | PA      | $151317.56    | 0.01%             | 2037-02-25      | Floating      | 4.27%                 | 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        |     280082 | PA      | $282010.32    | 0.02%             | 2031-12-15      | Fixed         | 6.12%                 | 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      | $5988956.88   | 0.33%             | 2034-07-15      | Floating      | 5.01%                 | 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        |       6226 | PA      | $5225.03      | 0.00%             | 2037-01-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-169186.06   | -0.01%            |  |  |  | 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        |      90323 | PA      | $45760.72     | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                | BAYER US FINANCE LLC COMPANY GUAR 144A 11/33 6.5       | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2382486.99   | 0.13%             | 2033-11-21      | Fixed         | 6.50%                 | 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        |     420941 | PA      | $389468.84    | 0.02%             | 2033-08-15      | Fixed         | 3.50%                 | 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        |      18614 | PA      | $15944.00     | 0.00%             | 2037-08-25      | Variable      | 6.85%                 | 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      | $4896664.67   | 0.27%             | 2034-10-15      | Floating      | 4.90%                 | 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        |      18291 | PA      | $18183.81     | 0.00%             | 2035-11-25      | Floating      | 4.55%                 | 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        |      20277 | PA      | $18819.18     | 0.00%             | 2034-02-25      | Floating      | 5.18%                 | 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        |      43997 | PA      | $43507.26     | 0.00%             | 2034-09-25      | Floating      | 6.84%                 | 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        |     759793 | PA      | $410304.58    | 0.02%             | 2036-05-25      | Floating      | 4.35%                 | 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        |      41458 | PA      | $37860.60     | 0.00%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                               | COMPEER FINANCIAL ACA JR SUBORDINA 144A 12/99 VAR      | CUSIP: 20453QAC6<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |    9000000 | NS      | $9280170.00   | 0.51%             |  |  |  | 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        |     174275 | PA      | $102706.52    | 0.01%             | 2037-01-25      | Floating      | 4.29%                 | 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        |      20723 | PA      | $19708.63     | 0.00%             | 2036-01-25      | Floating      | 4.86%                 | 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      | $1886363.37   | 0.10%             | 2035-05-19      | Fixed         | 5.75%                 | 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        |    2690493 | PA      | $2557422.97   | 0.14%             | 2036-11-25      | Floating      | 4.20%                 | 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        |    1231306 | PA      | $549869.09    | 0.03%             | 2036-05-25      | Fixed         | 6.50%                 | 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        |      49467 | PA      | $20868.55     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IFC EMERGING MARKETS SECURITIZATION 2025-1 LTD                      | IFC EMERGING MARKETS SECURITIZ IFCEMS 2025 1A A 144A   | CUSIP: 45174DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4399823.74   | 0.24%             | 2035-12-31      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-216607.08   | -0.01%            |  |  |  | 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      | $5574683.05   | 0.30%             | 2034-10-24      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                    | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A  | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6003300.00   | 0.33%             | 2034-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-31222.98    | -0.00%            |  |  |  | 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        |     282208 | PA      | $159002.00    | 0.01%             | 2037-01-25      | Floating      | 4.07%                 | 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      | $1633596.37   | 0.09%             |  |  |  | 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        |     229144 | PA      | $227901.02    | 0.01%             | 2035-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $17289.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                              | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507   | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3483212 | PA      | $3697983.99   | 0.20%             | 2032-01-10      | Fixed         | 7.51%                 | 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      | $4510354.82   | 0.25%             | 2026-03-06      | Fixed         | 6.95%                 | 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        |      18944 | PA      | $17856.85     | 0.00%             | 2035-07-25      | Floating      | 9.22%                 | 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        |     969236 | PA      | $945842.34    | 0.05%             | 2035-05-19      | Floating      | 4.29%                 | 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        |      13201 | PA      | $11802.56     | 0.00%             | 2036-07-26      | Floating      | 3.83%                 | 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        |       1919 | PA      | $1923.69      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $39834.94     | 0.00%             |  |  |  | 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        |       1801 | PA      | $1893.73      | 0.00%             | 2030-03-01      | Fixed         | 7.00%                 | 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        |       4345 | PA      | $4407.41      | 0.00%             | 2042-05-25      | Floating      | 5.08%                 | 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        |     412934 | PA      | $206438.72    | 0.01%             | 2046-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                  | BANCO SANTANDER SA 03/30 VAR                           | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3800000 | PA      | $3933767.45   | 0.21%             | 2030-03-14      | Floating      | 5.54%                 | 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        |      15009 | PA      | $15476.92     | 0.00%             | 2034-12-01      | Floating      | 5.94%                 | 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        |    6373402 | PA      | $3637336.75   | 0.20%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-21072.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20260213                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-6547.83     | -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      | $1535997.00   | 0.08%             | 2030-08-01      | Fixed         | 5.50%                 | 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        |    4525257 | PA      | $4370461.19   | 0.24%             | 2036-08-27      | Floating      | 4.38%                 | 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      | $4001143.95   | 0.22%             | 2069-02-15      | Floating      | 5.08%                 | 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        |      15339 | PA      | $15574.98     | 0.00%             | 2035-01-19      | Floating      | 4.53%                 | 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        |     173799 | PA      | $136875.24    | 0.01%             | 2035-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $51840.48     | 0.00%             |  |  |  | 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        |      94147 | PA      | $38513.55     | 0.00%             | 2037-05-25      | 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      | $949403.52    | 0.05%             | 2037-01-25      | Floating      | 4.07%                 | 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      | $59678.47     | 0.00%             |  |  |  | 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        |      18757 | PA      | $31137.54     | 0.00%             | 2036-03-25      | Floating      | 4.35%                 | 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        |     112387 | PA      | $75276.92     | 0.00%             | 2037-06-25      | Floating      | 4.05%                 | 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        |     105720 | PA      | $104439.44    | 0.01%             | 2035-09-25      | Floating      | 4.58%                 | 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      | $7991665.56   | 0.43%             | 2028-08-11      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $10375.88     | 0.00%             |  |  |  | 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        |         29 | PA      | $30.30        | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | 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      | $3373390.72   | 0.18%             | 2040-10-05      | Fixed         | 7.24%                 | 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        |       6794 | PA      | $10138.76     | 0.00%             | 2046-11-25      | Floating      | 4.33%                 | 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        |     185882 | PA      | $188133.47    | 0.01%             | 2034-10-25      | Floating      | 5.27%                 | 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        |      46907 | PA      | $46391.89     | 0.00%             | 2034-02-25      | Floating      | 5.73%                 | 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        |      16890 | PA      | $16877.59     | 0.00%             | 2035-07-25      | Floating      | 6.23%                 | 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        |       1119 | PA      | $1118.68      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | 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        |      22495 | PA      | $21325.98     | 0.00%             | 2047-06-25      | Floating      | 4.78%                 | 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        |      30148 | PA      | $23493.09     | 0.00%             | 2035-11-25      | Floating      | 4.84%                 | 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        |    5540934 | PA      | $6515184.85   | 0.35%             | 2033-04-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES11                                      | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES11 A1A 144A   | CUSIP: 749423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3965037 | PA      | $3974843.12   | 0.22%             | 2055-11-25      | Variable      | 4.97%                 | 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        |     111332 | PA      | $45026.85     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |    4536812 | PA      | $2764521.88   | 0.15%             | 2035-10-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $13118.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-7248.36     | -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        |     385255 | PA      | $523516.29    | 0.03%             | 2040-04-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                       | CITIGROUP INC SR UNSECURED 11/33 VAR                   | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7625236.78   | 0.42%             | 2033-11-17      | Floating      | 6.27%                 | Yes           |                  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        |    1876749 | PA      | $1162688.71   | 0.06%             | 2037-01-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                         | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    2657472 | PA      | $25886435.18  | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 02/35 VAR               | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9000000 | PA      | $9468034.83   | 0.52%             | 2035-02-08      | Floating      | 5.70%                 | 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        |     129510 | PA      | $123187.55    | 0.01%             | 2035-12-25      | Floating      | 4.49%                 | 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        |    6825424 | PA      | $6830100.63   | 0.37%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28950000 | PA      | $28266101.12  | 1.54%             | 2055-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $330098.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $83752.21     | 0.00%             |  |  |  | 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        |     573014 | PA      | $392185.93    | 0.02%             | 2035-07-25      | Fixed         | 8.00%                 | 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        |       5245 | PA      | $4788.02      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | 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        |     241819 | PA      | $234088.61    | 0.01%             | 2035-09-25      | Floating      | 4.54%                 | 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      | $1973445.15   | 0.11%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $44539.57     | 0.00%             |  |  |  | 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        |      13733 | PA      | $12047.39     | 0.00%             | 2035-04-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer