# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007262
**Filing Date:** 2026-5
**Character Count:** 465917
**Document Hash:** 022aaf5196fe0a1c0bad716f068934c0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007262.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007262

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043458

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

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

## Series and Classes Contracts Data

### PIMCO StocksPLUS International Fund (Unhedged) (Series ID: S000014410)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000039229 | Institutional | PSKIX           |
| C000039231 | Class A       | PPUAX           |
| C000039232 | Class C       | PPUCX           |
| C000064167 | I-2           | PPLPX           |
| C000200458 | I-3           | PSKNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO StocksPLUS International Fund (Unhedged)

- **b. EDGAR series identifier (if any):** S000014410

- **c. LEI of Series:** 549300788EIV7LQVH379

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $635587953.64

**Total Liabilities:** $461248360.81

**Net Assets:** $174339592.83

**Cash Not Reported:** $8006731.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -14997.273800 | **1-Year:** 29084.287500 | **5-Year:** 43891.755800 | **10-Year:** 880.848400 | **30-Year:** -6268.030100

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

- **3-Month:** 248.875900 | **1-Year:** 2346.329700 | **5-Year:** 11283.911600 | **10-Year:** 1935.693300 | **30-Year:** 30.662100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000039231 | 5.00%                | 4.99%                | -11.68%              |
| Class ID C000039232 | 4.95%                | 4.90%                | -11.71%              |
| Class ID C000064167 | 5.06%                | 5.03%                | -11.64%              |
| Class ID C000200458 | 4.95%                | 5.07%                | -11.68%              |
| Class ID C000039229 | 5.07%                | 5.03%                | -11.63%              |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $387500.50               | $265863.99                                 |
| Month 2  | $513983.02               | $213435.94                                 |
| Month 3  | $-119954.30              | $-3552094.05                               |

**Designated Index Information**

- **Index Name:** MSCI EAFE Net Total Return USD Unhedged Index

- **Index Identifier:** NDDUEAFE

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H31 FT         | CUSIP: 38375BC59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17031 | PA      | $17034.81     | 0.01%             | 2062-11-20      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $951.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S7L3 PIMCO CDSOPT PUT USD 0.65 20260520           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |    41200000 | NC      | $77298.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1370.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-504.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-118.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 932287 FN 12/39 FIXED 5.5                    | CUSIP: 31412QXQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10515 | PA      | $10726.17     | 0.01%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3937 FN 01/48 FIXED 3.5                    | CUSIP: 3140H5LT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18470 | PA      | $17166.02     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2498.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A       | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      800000 | PA      | $811838.56    | 0.47%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                        | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A         | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $800273.88    | 0.46%             | 2035-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-320.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $250.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $89.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25              | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    27620000 | PA      | $1312048.96   | 0.75%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $2306.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLB9 PIMCO CDSOPT PUT USD 102.17187500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3500000 | NC      | $-19006.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-978.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1500000 | NC      | $77019.30     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5697.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP MYC                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $58034.85     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2121.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $337321.64    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260721                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $338.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $33.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | KBCZ26C45 DEC26 45 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          25 | NC      | $1875.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR3                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR3 1A1A      | CUSIP: 17306SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15838 | PA      | $15058.26     | 0.01%             | 2036-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2101.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-245.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-403.92      | -0.00%            |  |  |  | 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        |      200000 | PA      | $212770.24    | 0.12%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |      910000 | NC      | $65034.06     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP GST                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $40024.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+27.5 JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-3150075.20  | -1.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-13.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1420.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-340.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $265.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEQ4 PIMCO FXVAN CALL USD BRL 5.70000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -560000 | NC      | $-635.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CZK SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $20.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93300 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1961.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1561.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1234.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH2                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH2 A2A      | CUSIP: 02151RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      607174 | PA      | $571321.14    | 0.33%             | 2047-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 3M CORRA FUTURES  MAR27 XMOD 20270615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           8 | NC      | $-3192.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $203.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260414                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6721.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4504.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3360000 | PA      | $3246477.90   | 1.86%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1               | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         231 | PA      | $203.14       | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-50.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-9513.01     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                          | ARCANO EURO CLO ARCAN 2A B 144A                        | CUSIP: ACI2YDL36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      600000 | PA      | $694271.40    | 0.40%             | 2039-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $790.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     7300000 | PA      | $163614.09    | 0.09%             | 2028-09-06      | Fixed         | 39.28%                | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -214660 | NC      | $-189.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2270.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FHLB)                                     | FED HOME LN DISCOUNT NT DISCOUNT NOT 06/26 0.00000     | CUSIP: 313385YP5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     1900000 | PA      | $1883492.95   | 1.08%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $377.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-356961.39   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM8586 GN 06/45 FIXED 3.5                    | CUSIP: 36185BRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6962 | PA      | $6545.02      | 0.00%             | 2045-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $4940.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.32 05/08/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-1785.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS CAD CAONREPO/3.0000 09/16/26-10Y LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-19607.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $75902.76     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $2771.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782562 GN 02/39 FIXED 5                      | CUSIP: 36241KZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3998 | PA      | $4076.81      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLT0 PIMCO CDSOPT CALL USD 98.20703125 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2000000 | NC      | $-5288.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985616 FN 04/34 FIXED 5.5                    | CUSIP: 31415P3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         941 | PA      | $960.15       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         110 | NC      | $-256214.64   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-80104.17    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $58285.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2571.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-198861.04   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $96.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-615.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                 | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875       | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       65121 | PA      | $66252.58     | 0.04%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC76A6 PIMCO SWAPTION 4.0325 PUT USD 202605         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $6217.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72050 04/01/26-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-123.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-2439.55     | -0.00%            |  |  |  | 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        |     1372578 | PA      | $362238.88    | 0.21%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $105.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-372.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $40.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-25269.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   124100000 | NC      | $769320.72    | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-9823.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.68000 08/07/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1061.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.975 12/16/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-38474.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-481.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                              | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A     | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      267122 | PA      | $267552.97    | 0.15%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-91.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A2 144A   | CUSIP: 16678RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54441 | PA      | $50305.37     | 0.03%             | 2036-07-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $15.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-0.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG44 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-23710.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-864.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-711.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-363.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $8993.17      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.98235 12/02/24-2Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5775.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-855.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-2F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3                | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1073 | PA      | $504.15       | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |        2844 | PA      | $1112.63      | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-1626.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260520                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5777.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $2286.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.59000 01/09/26-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $529.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $265.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-683.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844984 FN 05/35 FIXED 5.5                    | CUSIP: 31407YXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2142 | PA      | $2188.30      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $34.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74800 03/03/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1892.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $673.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.28000 11/22/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2809.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $212.08       | 0.00%             |  |  |  | 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        |       64682 | PA      | $46495.23     | 0.03%             | 2037-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $587.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 3A1A     | CUSIP: 93363TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      524284 | PA      | $487752.82    | 0.28%             | 2046-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC0UA4 PIMCO SWAPTION 3.3 CALL USD 20260602         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2300000 | NC      | $5223.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-5864.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4250000 | PA      | $4002172.73   | 2.30%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2874.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-12881.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-964.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $121.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3456.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAROA4 PIMCO SWAPTION 3.646 PUT USD 2026041         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-12559.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -5900000 | PA      | $-5268145.46  | -3.02%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2443.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1148.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4146 FN 06/32 FIXED 5.14                   | CUSIP: 3140NYTC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3069000 | PA      | $3184521.64   | 1.83%             | 2032-06-01      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-144.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-571.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-16.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-888.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-320.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4731.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-33.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1721.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-7219.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $608.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-554.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $970.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $457.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1982.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $952.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+32 CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-464497.62   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEP6 PIMCO FXVAN PUT USD BRL 5.12000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -560000 | NC      | $-3498.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.75000 06/21/23-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $375386.69    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $243.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260429                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-459.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                      | TCI SYMPHONY CLO TSYMP 2016 1A BR2 144A                | CUSIP: 87229WAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1001965.58   | 0.57%             | 2032-10-13      | Floating      | 5.46%                 | 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        |      433267 | PA      | $386050.03    | 0.22%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-285.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2628.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 829230 FN 08/35 FIXED 5.5                    | CUSIP: 31407FHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          88 | PA      | $90.34        | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6026.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $182.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $21351.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1116.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          89 | NC      | $-127611.58   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.28000 03/04/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2333.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A1       | CUSIP: 74923HAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      507793 | PA      | $438373.17    | 0.25%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $5516.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                             | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                 | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      771710 | PA      | $772122.09    | 0.44%             | 2039-06-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $395.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-24.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-267.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC7LA9 PIMCO SWAPTION 3.651 CALL USD 202606         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2200000 | NC      | $19533.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-1699.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3        | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164549 | PA      | $147254.84    | 0.08%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/20/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $20256.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-87.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 683047 FN 02/33 FIXED 5.5                    | CUSIP: 31400BZL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          43 | PA      | $44.31        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2226.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $967.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735480 FN 04/35 FIXED VAR                    | CUSIP: 31402RCR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         568 | PA      | $586.14       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $470.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $14.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 MV1         | CUSIP: 23242EAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4180000 | PA      | $4006306.79   | 2.30%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-9F                                   | GSR MORTGAGE LOAN TRUST GSR 2006 9F 3A1                | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       63336 | PA      | $58622.24     | 0.03%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1372.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-8686.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $5975.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-4851.73     | -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        |      300000 | PA      | $335582.88    | 0.19%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -200000 | NC      | $-178.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.39000 10/01/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $5319.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-40.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM2750 GN 04/45 FIXED 3.5                    | CUSIP: 36184NBT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41589 | PA      | $39074.70     | 0.02%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                | FANNIE MAE FNR 2005 79 NF                              | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2725 | PA      | $2709.64      | 0.00%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4077                                           | FREDDIE MAC FHR 4077 EP                                | CUSIP: 3137ASAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      427000 | PA      | $408273.92    | 0.23%             | 2042-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $13.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1082.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $737.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $2889.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-1219.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $24471.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                     | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500669.91    | 0.29%             | 2035-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-72337.98    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-359.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     4800000 | NC      | $271819.20    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SAUDI ARABIA GOVT EM SP JPM                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-4277.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $85.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                       | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A C           | CUSIP: 30165BAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600000 | PA      | $601635.84    | 0.35%             | 2030-01-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-14276.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 05/07/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-913.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                    | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30111 | PA      | $28010.54     | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04913 FG 03/38 FIXED 5              | CUSIP: 3128M6YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69226 | PA      | $70086.24     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $80.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 06/45 5              | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      300000 | PA      | $216033.00    | 0.12%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A     | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      424828 | PA      | $426795.45    | 0.24%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $39890.11     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $264.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1        | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      264202 | PA      | $190670.94    | 0.11%             | 2037-04-25      | Floating      | 4.01%                 | 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        |     1771439 | PA      | $1647701.68   | 0.95%             | 2046-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $107.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                      | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000     | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      270000 | PA      | $226327.50    | 0.13%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260626                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $266.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1592.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3478 FN 05/41 FIXED VAR                    | CUSIP: 3138EK2L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2264 | PA      | $2375.67      | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-703.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-6208.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 1A1         | CUSIP: 86362TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84260 | PA      | $85811.32     | 0.05%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-2179.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $29763.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BRITISH TELECOMMUNICATIONS PL SNR SE ICE               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |           1 | NC      | $1987.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD2612 FN 11/36 FIXED 5.5                    | CUSIP: 31418P3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2966 | PA      | $3001.31      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       66939 | PA      | $66557.75     | 0.04%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $671.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5473                                           | FREDDIE MAC FHR 5473 FA                                | CUSIP: 3137HHFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      557590 | PA      | $559478.47    | 0.32%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-17881.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $32.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-100.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C           | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1833603 | PA      | $842845.16    | 0.48%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1830.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QZ5154 FR 10/55 FIXED 6              | CUSIP: 31427CWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      197075 | PA      | $201933.73    | 0.12%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-3972.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6      | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      700000 | PA      | $205395.56    | 0.12%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-3147.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.77500 03/03/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2163.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-24165.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3133.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1500000 | NC      | $88853.40     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838545 FN 10/35 FIXED 5.5                    | CUSIP: 31407RTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          58 | PA      | $58.68        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                          | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5        | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99264.33     | 0.06%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6178.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2972.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-173.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.10000 01/21/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2244.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4115 | PA      | $3995.89      | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $46.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2300000 | NC      | $118096.26    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-13405.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $239.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3023.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-228.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-495.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.09000 01/22/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2166.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -100000 | NC      | $-566.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10824.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $190.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     7800000 | PA      | $174908.29    | 0.10%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2668.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C       | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      976827 | PA      | $477276.28    | 0.27%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260721                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $267.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |        4748 | PA      | $46239.49     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-193.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-1929.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9279 FN 02/48 FIXED 3.5                    | CUSIP: 3140HBJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22751 | PA      | $21124.04     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20270129                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-10001.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $16424.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-378.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAMPA4 PIMCO SWAPTION 4.141 PUT USD 2026123         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    22700000 | NC      | $31230.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SJW6 PIMCO FXVAN PUT USD KRW 1350.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -370000 | NC      | $-730.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2003-W10                                    | ARGENT SECURITIES INC. ARSI 2003 W10 M1                | CUSIP: 040104EN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272604 | PA      | $263177.06    | 0.15%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.4525 07/20/22-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4243.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-166.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $134.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $1216.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $1246.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-5654.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-423.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-573.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2400000 | NC      | $133839.12    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9255 05/08/25-01/04/27 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-1258.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-145.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 08/32 6.15             | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      700000 | PA      | $210364.09    | 0.12%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                     | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A    | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       18196 | PA      | $18153.72     | 0.01%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S949 PIMCO CDSOPT CALL USD 0.5 20260520           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -20400000 | NC      | $-6298.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-3102.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E                          | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1          | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        2021 | PA      | $2010.22      | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $42.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $72508.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.2914 05/08/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-24264.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                  | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 6A1             | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2517 | PA      | $2514.78      | 0.00%             | 2034-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-667.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 1A3      | CUSIP: 45661LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133764 | PA      | $53761.09     | 0.03%             | 2036-10-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-951.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A      | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      166886 | PA      | $167329.00    | 0.10%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $782.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-15640.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      900000 | NC      | $1369.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $725.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $275.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1972.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $264.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-4612.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-74                                         | FANNIE MAE FNR 2025 74 FB                              | CUSIP: 3136BXEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1215837 | PA      | $1226173.04   | 0.70%             | 2055-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12532.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1652.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -26 | NC      | $-2915.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-731.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.11000 08/25/27-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3691.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2212.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12     | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      540983 | PA      | $166926.75    | 0.10%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1        | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4095 | PA      | $3550.77      | 0.00%             | 2045-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-2525.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261207                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $28351.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2000000 | NC      | $-11850.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-687.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 1 1A1         | CUSIP: 83612PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68532 | PA      | $65429.89     | 0.04%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0136 FR 12/53 FIXED 4.5            | CUSIP: 3142GQEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      359142 | PA      | $346964.05    | 0.20%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-70                                         | FANNIE MAE FNR 2025 70 CF                              | CUSIP: 3136BXKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1560698 | PA      | $1575282.50   | 0.90%             | 2055-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2200000 | NC      | $13771.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA22                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1      | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5790 | PA      | $5395.24      | 0.00%             | 2047-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-7507.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $733.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7      | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     3400000 | PA      | $1070561.80   | 0.61%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.14800 11/20/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-1714.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD HUF BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-1395.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $83.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8475 FR 11/54 FIXED 5.5            | CUSIP: 3132DWMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7526217 | PA      | $7569065.08   | 4.34%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $145767.63    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5569                                           | FREDDIE MAC FHR 5569 FB                                | CUSIP: 3137HMMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1811179 | PA      | $1828510.62   | 1.05%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 887398 FN 07/36 FIXED 6                      | CUSIP: 31410E3F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         481 | PA      | $496.11       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC7KA0 PIMCO SWAPTION 3.951 PUT USD 2026062         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2200000 | NC      | $-12859.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1913.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                             | IVORY COAST SR UNSECURED REGS 03/48 6.625              | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      300000 | PA      | $299492.35    | 0.17%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $2089.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $219.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-412062.54   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $58.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $1083.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4592.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+36.5 ULO                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-12481288.14 | -7.16%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6190000 | PA      | $5799341.05   | 3.33%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                         | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7        | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100840.50    | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                              | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A11         | CUSIP: 02660LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1812742 | PA      | $911049.28    | 0.52%             | 2046-10-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $556.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260526                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $8656.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT TREASURY BILL BILLS 10/26 0.00000                | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      200000 | PA      | $3215.88      | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $57981.29     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S7M1 PIMCO CDSOPT CALL USD 0.525 20260520         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -27100000 | NC      | $-16682.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $43.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $4781.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2410.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89600 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $695.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $686.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $505.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3559.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-311.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.985 01/27/26-01/02/31 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-20810.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                  | TOWD POINT MORTGAGE TRUST TPMT 2017 4 A1 144A          | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      281620 | PA      | $277319.36    | 0.16%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1795.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 993084 FN 12/38 FIXED 5.5                    | CUSIP: 31415YFZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         171 | PA      | $173.24       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $2899.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-31                                         | FANNIE MAE FNR 2012 31 NL                              | CUSIP: 3136A5JJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      381520 | PA      | $371238.23    | 0.21%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-4831.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3560.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A     | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      482989 | PA      | $470473.45    | 0.27%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/43 3.875                            | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2100000 | PA      | $1861863.28   | 1.07%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14260000 | PA      | $14131963.04  | 8.11%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $322.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2042.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-119.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-8574.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-6362.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97500 03/21/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1203.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBSFA1 PIMCO SWAPTION 3.449 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $19.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678870 FN 01/33 FIXED 5.5                    | CUSIP: 31391WFK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $75.24        | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-64.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 AF                              | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5254 | PA      | $5267.18      | 0.00%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-10955.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -10440000 | PA      | $-9550188.57  | -5.48%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $374.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $201150.64    | 0.12%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95          | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      881000 | PA      | $274578.63    | 0.16%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0520 FN 07/41 FIXED VAR                    | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82221 | PA      | $84543.86     | 0.05%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $90346.71     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 07/46 11.5                  | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   403500000 | PA      | $97342.39     | 0.06%             | 2046-07-25      | Fixed         | 11.50%                | 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        |      662017 | PA      | $632253.88    | 0.36%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $572.50       | 0.00%             |  |  |  | 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        |        1141 | PA      | $1104.36      | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-23061.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.5025 03/25/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8269.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                       | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35            | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      100000 | PA      | $76591.39     | 0.04%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -800000 | NC      | $-2742.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 1A1        | CUSIP: 68402BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      348010 | PA      | $242569.69    | 0.14%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $49616.54     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2643.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-136.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-68                                         | FANNIE MAE FNR 2025 68 FA                              | CUSIP: 3136BWL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1041375 | PA      | $1049549.64   | 0.60%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1             | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          77 | PA      | $75.27        | 0.00%             | 2035-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5444.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-455.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      900000 | NC      | $52060.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-695.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/53 4.125                            | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1600000 | PA      | $1403624.99   | 0.81%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1314.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-1284.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-87559.67    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $453.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701603 GN 02/39 FIXED 5                      | CUSIP: 36296UNU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10569 | PA      | $10795.22     | 0.01%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1600000 | NC      | $90606.40     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-30.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                              | GSAMP TRUST GSAMP 2006 HE8 A2D                         | CUSIP: 3622M8AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      902000 | PA      | $802150.76    | 0.46%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-283.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+29 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-2329389.34  | -1.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $81.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25              | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     2500000 | PA      | $144271.26    | 0.08%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 03/18/26-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-14130.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $36446.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $74.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-936.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1          | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         414 | PA      | $421.38       | 0.00%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1              | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         105 | PA      | $104.74       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-9867.52     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $347.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $164.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.67000 04/03/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $735.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                  | FREDDIE MAC FHR 3355 BF                                | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5082 | PA      | $5090.09      | 0.00%             | 2037-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3300000 | NC      | $-10890.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE7731 FN 11/40 FIXED 4.5                    | CUSIP: 31419JSV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7055 | PA      | $6985.94      | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 798106 GN 03/42 FIXED 3.5                    | CUSIP: 36177TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         534 | PA      | $501.74       | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-97.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                             | AREIT CRE TRUST AREIT 2022 CRE7 AS 144A                | CUSIP: 00217VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1301648.08   | 0.75%             | 2039-06-17      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1900000 | NC      | $105929.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-754.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-9.38        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8CA7 PIMCO SWAPTION 3.899 PUT USD 2026062         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2400000 | NC      | $-16685.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1473.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN44 5Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-865.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 10Y BOND FUT JUN26 XSFE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          29 | NC      | $-12716.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1852296.13   | 1.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-374.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1392.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $351.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $0.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1069.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-950.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2995.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $694.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                | FANNIE MAE FNR 2007 65 KF                              | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         766 | PA      | $759.12       | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375          | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      200000 | PA      | $207094.00    | 0.12%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $296.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $2383.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                  | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   110000000 | PA      | $537797.80    | 0.31%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1927.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4039.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 887582 FN 07/36 FIXED 5.5                    | CUSIP: 31410FCT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         508 | PA      | $518.23       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-4458.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929952 FN 08/36 FIXED 5.5                    | CUSIP: 31412NEZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13366 | PA      | $13799.99     | 0.01%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A32472 FG 04/35 FIXED 5.5            | CUSIP: 31297MW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3574 | PA      | $3659.63      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-441.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -800000 | NC      | $-709.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9627 FN 12/54 FIXED 4.5                    | CUSIP: 3140QVVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      733425 | PA      | $716802.79    | 0.41%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A   | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      600000 | PA      | $693231.55    | 0.40%             | 2038-08-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 762433 FN 01/34 FIXED 5.5                    | CUSIP: 31404ABA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $55.91        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $410.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.48 10/29/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-17823.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES CORE S&P 500 ETF                                          | ISHARES CORE S+P 500 ETF ISHARES CORE S+P 500 ETF      | CUSIP: 464287200<br>LEI: 5493007M4YMN8XL48C14 | Long             | EC               | CORP              | US        |       11135 | NS      | $7273493.35   | 4.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $1543.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.245 09/02/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-37330.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-314.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1546.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                        | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A            | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500119.62    | 0.29%             | 2035-04-20      | Floating      | 4.82%                 | 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        |    16100000 | PA      | $935101.13    | 0.54%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -4600000 | NC      | $-1863.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20L 1          | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         341 | PA      | $341.69       | 0.00%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP CBK                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $140124.20    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2100000 | NC      | $134782.83    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $59.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-11AR                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 11AR A1        | CUSIP: 61748HTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230882 | PA      | $121578.80    | 0.07%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5154.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKX2 PIMCO CDSOPT CALL USD 0.55 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |    -2600000 | NC      | $-3023.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88400 03/25/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1007.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1200000 | NC      | $62884.68     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9696.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $344.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A    | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      159122 | PA      | $160069.93    | 0.09%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 905142 FN 02/37 FIXED 5.5                    | CUSIP: 31411DS75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $84.19        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $200.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP JPM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $342205.24    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -200000 | NC      | $-575.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-25562.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCAAA4 PIMCO SWAPTION 3.889 PUT USD 2026043         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2500000 | NC      | $7800.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $483.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $231.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SIS6 PIMCO CDSOPT PUT USD 96.58984375 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     4000000 | NC      | $33545.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18659 FG 09/32 FIXED 3              | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      332635 | PA      | $323915.46    | 0.19%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $208.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2311.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3200000 | NC      | $-1292.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKLA1 PIMCO SWAPTION 3.7625 PUT USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2700000 | NC      | $-10034.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2668 FN 09/47 FIXED 3.5                    | CUSIP: 3140GQ6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45625 | PA      | $42404.64     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995651 FN 11/37 FIXED VAR                    | CUSIP: 31416CBU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         655 | PA      | $680.23       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1061.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033         | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |      800000 | PA      | $792062.38    | 0.45%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $325.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $170.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAN1A8 PIMCO SWAPTION 4.082 PUT USD 2027010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    22800000 | NC      | $35182.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     4600000 | NC      | $6614.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ICE 3MTH SONIA FU MAR27 IFLL 20270615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          54 | NC      | $24949.58     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $344.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930688 FN 03/39 FIXED 5.5                    | CUSIP: 31412N6Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6433 | PA      | $6600.37      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $69913.04     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD2336 GN 04/43 FIXED 3.5                    | CUSIP: 36180DSZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5342 | PA      | $5021.99      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555876 FN 10/33 FIXED VAR                    | CUSIP: 31385XQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         137 | PA      | $139.17       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                           | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A     | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $500782.45    | 0.29%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $81.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $609.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735136 FN 01/35 FIXED VAR                    | CUSIP: 31402QV57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1519 | PA      | $1505.45      | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ7522 FN 01/27 FIXED 3                      | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16902 | PA      | $16805.18     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $691.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.58000 08/29/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2024.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3383 FN 06/48 FIXED 3.5                    | CUSIP: 31418CXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24165 | PA      | $22469.01     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $175.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-386.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | MSCI EAFE        JUN26 IFUS 20260619                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           4 | NC      | $12421.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $648.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-46222.96    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $7240.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 B 144A     | CUSIP: 69544VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      498681 | PA      | $498400.68    | 0.29%             | 2032-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $940.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15          | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    13200000 | PA      | $3966865.71   | 2.28%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $997.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4970000 | PA      | $4912678.01   | 2.82%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $341.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0152 FN 06/40 FIXED VAR                    | CUSIP: 3138EGE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11712 | PA      | $12292.13     | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                       | CUSIP: 49271KDW1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      900000 | PA      | $896767.47    | 0.51%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $379.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                          | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                 | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122405 | PA      | $106232.49    | 0.06%             | 2037-03-27      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5470 GN 09/44 FIXED 3.5                    | CUSIP: 36183BCF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28191 | PA      | $26504.41     | 0.02%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                 | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D       | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      281963 | PA      | $106840.43    | 0.06%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   124100000 | NC      | $419805.48    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT GOVERNMENT BOND BONDS 10/30 19.698               | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    12300000 | PA      | $221564.66    | 0.13%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2056.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                | FANNIE MAE FNR 2007 63 FC                              | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         347 | PA      | $343.82       | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2500000 | NC      | $7202.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-172889.31   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-68321.32    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.52 03/27/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3944.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-58.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.51000 04/09/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3130.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-414.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.25000 11/06/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2619.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 845341 FN 01/36 FIXED 5.5                    | CUSIP: 31408AEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          92 | PA      | $94.82        | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-6.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN45 5Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-2111.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $309.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-866.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3284.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1462.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5     | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      300000 | PA      | $298126.39    | 0.17%             | 2029-03-24      | Fixed         | 4.50%                 | 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        |     3400000 | PA      | $928285.30    | 0.53%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55821 | PA      | $51864.20     | 0.03%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261228                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $200.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-45.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-82.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-5231.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.91000 12/29/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $342.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BOA                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $98058.93     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                        | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45  | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |      500000 | PA      | $495041.19    | 0.28%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $557.36       | 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      | $2598.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2C       | CUSIP: 59024LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1805017 | PA      | $500501.01    | 0.29%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                      | PPM CLO, LTD. PPMC 2021 5A AR 144A                     | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $700824.04    | 0.40%             | 2034-10-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                             | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2540000 | PA      | $2580008.84   | 1.48%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3780000 | PA      | $3792537.69   | 2.18%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260818                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-13854.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3238 FN 01/48 FIXED 3.5                    | CUSIP: 31418CS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144012 | PA      | $133975.72    | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                 | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     5600000 | PA      | $327393.78    | 0.19%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBFQA7 PIMCO SWAPTION 3.2675 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3200000 | NC      | $0.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4454.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $61.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-206.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FC                                | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2984 | PA      | $2990.91      | 0.00%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $702.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A      | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       98568 | PA      | $99101.99     | 0.06%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-5716.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-145.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $160621.59    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-13560.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                               | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2      | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70774 | PA      | $69285.71     | 0.04%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/45 4.875                            | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       51000 | PA      | $50844.61     | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-808.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4012 FN 02/48 FIXED 3.5                    | CUSIP: 3140H5N64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13584 | PA      | $12610.72     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3996 FN 02/48 FIXED 3.5                    | CUSIP: 3140H5NN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21082 | PA      | $19663.26     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1870.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-140.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-88134.82    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260506                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-70.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG46 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-327077.27   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                               | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1       | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      404794 | PA      | $311065.44    | 0.18%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2300000 | NC      | $-18796.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $11746.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.15000 08/25/27-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-87040.52    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | GENERAL ELECTRIC COMPANY SNR S* ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $2856.29      | 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      | $16.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1         | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430015 | PA      | $414866.86    | 0.24%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -100000 | NC      | $-124.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2937 FN 04/43 FIXED VAR                    | CUSIP: 3140XJHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1835189 | PA      | $1772827.62   | 1.02%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -300000 | NC      | $-1135.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889697 FN 07/38 FIXED VAR                    | CUSIP: 31410KNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         379 | PA      | $398.00       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-424.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $199.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 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        |      800000 | PA      | $800445.58    | 0.46%             | 2034-04-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 07/26 0.00000             | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     7900000 | PA      | $1477005.69   | 0.85%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 14.0087 05/12/25-01/04/27 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-1596.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2012.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-190.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1786.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-208.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-15430.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL1319 FN 10/41 FIXED VAR                    | CUSIP: 3138EHPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61711 | PA      | $61163.93     | 0.04%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $730.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUZA5 PIMCO SWAPTION 3.56 PUT USD 20260428         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2500000 | NC      | $-32763.25    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $985.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 AS 144A   | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $1996113.02   | 1.14%             | 2038-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-6677.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12471.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 B 144A    | CUSIP: 14688XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $504259.60    | 0.29%             | 2031-05-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1496.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  MAR27 XCME 20270615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          -2 | NC      | $2273.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3494.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B       | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      761854 | PA      | $589909.53    | 0.34%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257573 FN 02/39 FIXED 5.5                    | CUSIP: 31371PCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1256 | PA      | $1291.59      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                             | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A               | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      353684 | PA      | $353995.91    | 0.20%             | 2033-04-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                            | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      641000 | PA      | $633894.78    | 0.36%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-51398.44    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3223 FN 09/41 FIXED VAR                    | CUSIP: 3138EKSM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26489 | PA      | $27284.58     | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-289.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-268.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $213.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38570000 | PA      | $39259734.97  | 22.52%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $9492.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      900000 | NC      | $48780.99     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-21867.63    | -0.01%            |  |  |  | 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        |       36061 | PA      | $33701.99     | 0.02%             | 2047-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-4                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 4 A2D              | CUSIP: 66988XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      930913 | PA      | $359001.74    | 0.21%             | 2036-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-25.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |     2147951 | PA      | $21082142.74  | 12.09%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782387 GN 08/38 FIXED 5                      | CUSIP: 36241KUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         513 | PA      | $529.48       | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.59000 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1928.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $275.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1100000 | NC      | $64796.05     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKMA0 PIMCO SWAPTION 3.4625 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2400000 | NC      | $1958.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $4257.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC62A2 PIMCO SWAPTION 3.7825 PUT USD 202606         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2500000 | NC      | $-23507.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $21482.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $35548.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9634 FN 12/54 FIXED 4.5                    | CUSIP: 3140QVV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90216 | PA      | $88679.15     | 0.05%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $505.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1        | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12495 | PA      | $9827.78      | 0.01%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $250.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP      | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $205053.88    | 0.12%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-3886.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12122.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                            | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B        | CUSIP: 81879MAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1485872 | PA      | $725122.27    | 0.42%             | 2036-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5339.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888209 FN 05/36 FIXED VAR                    | CUSIP: 31410FYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         106 | PA      | $109.45       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $266.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0616 FN 03/40 FIXED VAR                    | CUSIP: 31419AVJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8406 | PA      | $8819.42      | 0.01%             | 2040-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.73000 12/31/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $423.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74200 03/26/26-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3816.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865283 FN 02/36 FIXED 5.5                    | CUSIP: 31409AJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1295 | PA      | $1330.56      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A     | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228688 | PA      | $226887.46    | 0.13%             | 2037-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |    -3400000 | NC      | $-2763.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3444.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-324.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-249.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.43500 11/05/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7928.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815      | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $196063.14    | 0.11%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                   | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1              | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189868 | PA      | $175816.12    | 0.10%             | 2046-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942498 FN 08/37 FIXED 6                      | CUSIP: 31413DRT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4594 | PA      | $4726.63      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $449.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1        | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358913 | PA      | $217699.12    | 0.12%             | 2037-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $348.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $511.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                      | ACE SECURITIES CORP. ACE 2006 NC2 A1                   | CUSIP: 00441XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      277688 | PA      | $214787.62    | 0.12%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888592 FN 08/37 FIXED VAR                    | CUSIP: 31410GF99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1117 | PA      | $1153.68      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $261.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $1318.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1100000 | NC      | $87150.80     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1839.66      | 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        |        3368 | PA      | $3257.78      | 0.00%             | 2035-10-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.61000 03/24/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-3826.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2412.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 C 144A      | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      176639 | PA      | $176787.52    | 0.10%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $867.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 3.76000 11/01/24-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-481.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3960 FN 01/48 FIXED 3.5                    | CUSIP: 3140H5MJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24874 | PA      | $23097.18     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -900000 | NC      | $-3010.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1292.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAURA4 PIMCO SWAPTION 3.174 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2200000 | NC      | $878.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1            | CUSIP: 61753KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1424500 | PA      | $531516.71    | 0.30%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-143.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3442 FN 08/48 FIXED 3.5                    | CUSIP: 31418CZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21784 | PA      | $20237.14     | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A B1R 144A    | CUSIP: 36361UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $601699.41    | 0.35%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929308 FN 04/38 FIXED 5.5                    | CUSIP: 31412MNZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         177 | PA      | $182.21       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | 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        |      182112 | PA      | $179582.03    | 0.10%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $69.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2380.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-557.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                   | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1              | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2895 | PA      | $2759.08      | 0.00%             | 2034-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1600000 | NC      | $2435.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $33995.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1141.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 984277 FN 06/38 FIXED 5.5                    | CUSIP: 31415MM28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1574 | PA      | $1622.04      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-6336.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                           | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2570000 | PA      | $2581548.91   | 1.48%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     -335340 | NC      | $-267.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A      | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      463260 | PA      | $464223.09    | 0.27%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         301 | NC      | $-306485.94   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $250150.34    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2255.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -3800000 | PA      | $-3060039.03  | -1.76%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-17.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                   | BEAR STEARNS ALT A TRUST BALTA 2007 2 1A1              | CUSIP: 073870AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157578 | PA      | $142173.66    | 0.08%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01300 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1584.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-723.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $57.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                   | AVON FINANCE AVON 4A A 144A                            | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      476142 | PA      | $630727.36    | 0.36%             | 2049-12-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3898                                                  | FREDDIE MAC FHR 3898 AF                                | CUSIP: 3137ADX44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23385 | PA      | $23331.08     | 0.01%             | 2041-06-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                       | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A B           | CUSIP: 30165BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      690314 | PA      | $691176.61    | 0.40%             | 2029-04-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1600000 | NC      | $-646.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $3603.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-88.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-412.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-227.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-SD2                                      | ACE SECURITIES CORP. ACE 2005 SD2 M4                   | CUSIP: 004421QH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      691000 | PA      | $658582.56    | 0.38%             | 2040-08-25      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-222.20      | -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      | $6.18         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888131 FN 02/37 FIXED VAR                    | CUSIP: 31410FVY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2449 | PA      | $2528.58      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $23680.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/17/26-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9422.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3332 FN 04/48 FIXED 3.5                    | CUSIP: 31418CV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30124 | PA      | $27893.40     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.53000 12/31/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-146.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1710.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $336.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2528.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $90.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CCA VINTAGE 2026  DEC26 IFED 20261224                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          24 | NC      | $-106153.66   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $345.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3200000 | NC      | $4870.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-482.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-315.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC                  | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A    | CUSIP: 05377RHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $407535.28    | 0.23%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2240000 | PA      | $2250667.24   | 1.29%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4043.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                     | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A         | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500684.67    | 0.29%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2369.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1317.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-644.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1119.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+35.5 MYI                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1665201.84  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $197.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAODA3 PIMCO SWAPTION 4.093 PUT USD 2027010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    21400000 | NC      | $32384.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91195 FG 07/28 FIXED 5.5            | CUSIP: 3128P7KG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         106 | PA      | $107.35       | 0.00%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-952.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.79250 11/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-67.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3391.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                            | CHASEFLEX TRUST CFLX 2007 3 2A1                        | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      818586 | PA      | $726332.78    | 0.42%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-2856.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-682.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88000 01/13/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $562.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $540.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $144.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-356.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260724                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $12348.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-56.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 1A4       | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      236407 | PA      | $224921.96    | 0.13%             | 2046-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -5400000 | PA      | $-4538742.23  | -2.60%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-375.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $5300.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEO9 PIMCO FXVAN PUT USD BRL 5.32000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      560000 | NC      | $16542.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-326.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH9708 FN 04/41 FIXED 4.5                    | CUSIP: 3138ABYE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2758 | PA      | $2730.97      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $261.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 954876 FN 11/37 FIXED 6                      | CUSIP: 31413TJV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $45.66        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $376.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955212 FN 12/37 FIXED 5.5                    | CUSIP: 31413TVD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8692 | PA      | $8959.52      | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A       | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11248 | PA      | $10471.30     | 0.01%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      100000 | PA      | $2250.36      | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2095.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $558.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2023-3A                             | LENDBUZZ SECURITIZATION TRUST LBZZ 2023 3A A2 144A     | CUSIP: 525931AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      447954 | PA      | $455346.81    | 0.26%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1554.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-4765.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 2A3      | CUSIP: 933637AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36288 | PA      | $31689.06     | 0.02%             | 2037-01-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                     | ARGENT SECURITIES INC. ARSI 2006 M1 A1                 | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      401257 | PA      | $367633.27    | 0.21%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-32.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-599.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          81 | NC      | $-293547.08   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | IRS EUR 2.55000 04/16/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2731.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $2080.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-538.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUSA3 PIMCO SWAPTION 3.674 PUT USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -200000 | NC      | $-1634.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                           | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5900000 | PA      | $5412470.20   | 3.10%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $15568.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865952 FN 03/36 FIXED 5.5                    | CUSIP: 31409BBV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1384 | PA      | $1428.66      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     4700000 | NC      | $11208.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1444.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-713.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $197.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-10698.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-2728.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3977 FN 01/48 FIXED 3.5                    | CUSIP: 3140H5M32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10618 | PA      | $9877.44      | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $1919.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2130.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A         | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55927 | PA      | $51879.66     | 0.03%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $386.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SB46 PIMCO CDSOPT PUT USD 0.65 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |    11000000 | NC      | $26350.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.97000 12/15/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-150.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN8471 GN 06/45 FIXED 3.5                    | CUSIP: 36186SMU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27057 | PA      | $25187.27     | 0.01%             | 2045-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $382.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3630.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1977.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $112.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $572.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -200000 | NC      | $-556.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-4122.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1800000 | NC      | $2588.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 869015 FN 05/36 FIXED 5.5                    | CUSIP: 31409EN80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         167 | PA      | $171.96       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7399 FR 12/54 FIXED 4.5            | CUSIP: 3132DVGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1053587 | PA      | $1026671.37   | 0.59%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1199.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAOYA0 PIMCO SWAPTION 3.857 PUT USD 2026100         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    23200000 | NC      | $44332.88     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $815.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBFPA8 PIMCO SWAPTION 3.7675 PUT USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-1571.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-OAT FUTURE   JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -85 | NC      | $368197.64    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3861.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 4.625                            | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2000000 | PA      | $1940273.44   | 1.11%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5            | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      774180 | PA      | $778784.39    | 0.45%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $250.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1271.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-756.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725946 FN 11/34 FIXED VAR                    | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10921 | PA      | $11156.35     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $893.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $5310.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.48500 12/02/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-218.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937645 FN 06/37 FIXED 6                      | CUSIP: 31412XES9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1894 | PA      | $1982.83      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -1810000 | NC      | $-57918.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A BR2 144A | CUSIP: 38178DAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      500000 | PA      | $496492.07    | 0.28%             | 2035-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -900000 | NC      | $-363.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.67600 01/09/26-5Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $444.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-7281.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 06/18/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-57327.96    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-4343.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-42.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-847.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                    | KKR FINANCIAL CLO LTD KKR 21 B 144A                    | CUSIP: 48252KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $400751.52    | 0.23%             | 2031-04-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261217                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $1192.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1452.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $65.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.12800 12/04/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-1524.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $1433.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-1338.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-92.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SC60 PIMCO CDSOPT PUT USD 102.32812500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1100000 | NC      | $-4561.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-2090.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4296.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3MO EURO EURIBOR  JUN27 IFLL 20270614                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          -2 | NC      | $3667.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 792905 GN 01/42 FIXED 3.5                    | CUSIP: 36177MGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2943 | PA      | $2775.54      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-155.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-6843.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1660000 | PA      | $1600547.68   | 0.92%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      214660 | NC      | $684.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2028 FN 04/48 FIXED 3.5                    | CUSIP: 3140Q9HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27866 | PA      | $26066.22     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $95.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-411.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1927.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84199 12/02/24-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10270.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.71000 01/14/26-5Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $1025.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKZ7 PIMCO CDSOPT PUT USD 99.09765625 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    15500000 | NC      | $13435.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-3441.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.72250 12/01/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $3385.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SB53 PIMCO CDSOPT CALL USD 0.5 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -13900000 | NC      | $-5492.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-6741.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3839.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD6062 FN 07/40 FIXED 5.5                    | CUSIP: 31418TWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4082 | PA      | $4168.03      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260520                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $6153.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-938.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-161.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $932.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2             | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78650 | PA      | $75269.56     | 0.04%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ADJ IR S+P 500 TR JUN26 XCME 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         -20 | NC      | $338420.00    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $17.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-25.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                            | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3         | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      206712 | PA      | $62545.62     | 0.04%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                            | BAIN CAPITAL EURO CLO BCCE 2022 2A B2RR 144A           | CUSIP: ACI2ZP3L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      500000 | PA      | $577311.87    | 0.33%             | 2038-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $7334.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $47.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15380000 | PA      | $15170232.49  | 8.70%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $1241.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1      | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1741 | PA      | $1174.96      | 0.00%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4263.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-78357.69    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 03/03/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-577.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 01/35 11.75                 | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 11500500000 | PA      | $2851387.70   | 1.64%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670341 GN 08/37 FIXED 6                      | CUSIP: 36295GWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12594 | PA      | $13461.10     | 0.01%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $136.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $61.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB2761 GN 08/42 FIXED 3.5                    | CUSIP: 36178NB65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2755 | PA      | $2590.14      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/18/24-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $566095.64    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                       | INVESCO EURO CLO INVSC 3A AR                           | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      500000 | PA      | $577636.15    | 0.33%             | 2038-10-30      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.81 01/27/26-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-26724.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $843.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                           | FREDDIE MAC FHR 3376 FD                                | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         784 | PA      | $785.65       | 0.00%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-725.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                      | ROMANIA SR UNSECURED REGS 07/39 6.75                   | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      400000 | PA      | $462386.32    | 0.27%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-444.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHACKLETON CLO LTD 2019-14A                                       | SHACKLETON CLO LTD SHACK 2019 14A A1RR 144A            | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      900000 | PA      | $901197.41    | 0.52%             | 2034-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3719.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $33033.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1724.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3685.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $41.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1005.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-3                                  | TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A          | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      264716 | PA      | $260114.24    | 0.15%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $131.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $184.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $4134.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-28.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-75.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL7225 GN 05/45 FIXED 3.5                    | CUSIP: 36184EA27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         528 | PA      | $496.33       | 0.00%             | 2045-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $81402.13     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $6250.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 B 144A      | CUSIP: 69545GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      499947 | PA      | $500338.35    | 0.29%             | 2032-10-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                          | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A               | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500684.19    | 0.29%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2812.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $4892.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1209.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-2284.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85500 11/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $416.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-725.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 5.00000 09/16/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-13226.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA4844 GN 06/42 FIXED 3.5                    | CUSIP: 36178CLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14378 | PA      | $13517.71     | 0.01%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $540.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | FED FUND 30DAY    MAY26 XCBT 20260529                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          17 | NC      | $-27424.38    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260428                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-351.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $419.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2529.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5452                                           | FREDDIE MAC FHR 5452 JF                                | CUSIP: 3137HFGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2190805 | PA      | $2205268.95   | 1.26%             | 2054-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2119.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 03/58 12                    | CUSIP: ACI2Z8HT4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    39000000 | PA      | $9584.47      | 0.01%             | 2058-03-13      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY3 1A1      | CUSIP: 02148DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      839807 | PA      | $674860.46    | 0.39%             | 2047-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $30806.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1367.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689115 FN 02/33 FIXED 5.5                    | CUSIP: 31400JSC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.29        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $69.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC75A7 PIMCO SWAPTION 3.7325 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-7696.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBSEA2 PIMCO SWAPTION 4.049 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1800000 | NC      | $-577.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.53000 04/23/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2959.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3079.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-4641.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                             | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                    | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342800 | PA      | $343741.61    | 0.20%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-210665.35   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2415.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                              | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625    | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |      300000 | PA      | $210780.00    | 0.12%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86000 11/14/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $915.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260520                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $505.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3356 FN 05/48 FIXED 3.5                    | CUSIP: 31418CWS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27136 | PA      | $25184.05     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2299553.34   | 1.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -200000 | NC      | $-1044.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 717099 GN 05/39 FIXED 5                      | CUSIP: 3620A2UY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8657 | PA      | $8842.37      | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $92.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-3.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A    | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $286675.30    | 0.16%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.53500 11/06/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-6167.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 909287 FN 01/37 FIXED 5.5                    | CUSIP: 31411JF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1109 | PA      | $1144.67      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1049.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 994431 FN 12/38 FIXED 6                      | CUSIP: 31416AVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1118 | PA      | $1140.06      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $13277.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-239.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $19120.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1331.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $567.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2          | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      465977 | PA      | $452734.00    | 0.26%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UARPA3 PIMCO SWAPTION 3.146 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $167.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8521 FR 02/53 FIXED 5              | CUSIP: 3133KQPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      257728 | PA      | $255467.68    | 0.15%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M6           | CUSIP: 1266735Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      693728 | PA      | $685488.92    | 0.39%             | 2035-12-25      | Floating      | 4.83%                 | 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        |        3850 | PA      | $3580.54      | 0.00%             | 2036-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $137.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3276 FN 02/48 FIXED 3.5                    | CUSIP: 31418CUA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45585 | PA      | $42461.25     | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86600 11/14/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $503.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $265.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $326.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                | FANNIE MAE FNR 2005 75 AF                              | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1433 | PA      | $1421.65      | 0.00%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-1601.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $954.92       | 0.00%             |  |  |  | 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        |      500000 | PA      | $499982.35    | 0.29%             | 2048-04-11      | Floating      | 5.04%                 | No            |                  3 | On Loan: No      |
| VICI PROPERTIES LP                                                | VICI PROPERTIES LP SR UNSECURED 02/28 4.75             | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      400000 | PA      | $400512.65    | 0.23%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1464.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-896.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-19274.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831102 FN 11/35 FIXED 5.5                    | CUSIP: 31407HKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         748 | PA      | $769.26       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8258.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $1143.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3431.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                      | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8        | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    40000000 | PA      | $43977.28     | 0.03%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8DA6 PIMCO SWAPTION 3.599 CALL USD 202606         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2400000 | NC      | $18564.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888129 FN 02/37 FIXED VAR                    | CUSIP: 31410FVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25124 | PA      | $25940.52     | 0.01%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1284.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $934.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.52000 03/27/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-4708.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $176.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1100000 | NC      | $-3557.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $72.11        | 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      | $501.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-355.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $250.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1281.84      | 0.00%             |  |  |  | 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        |      820000 | PA      | $843722.97    | 0.48%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.46000 03/13/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-5037.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAV0A1 PIMCO SWAPTION 3.26 CALL USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2500000 | NC      | $1671.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $4451.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-919.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.68500 12/02/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $458.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -500000 | NC      | $-507.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $1398.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1577.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1862.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $100.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.07100 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2030.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-282.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $111.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4300000 | PA      | $4235809.43   | 2.43%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190346 FN 12/33 FIXED VAR                    | CUSIP: 31368HL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $35.12        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      335340 | NC      | $999.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/35 4.25                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       83000 | PA      | $82701.72     | 0.05%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2107.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                            | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1        | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      218174 | PA      | $209772.58    | 0.12%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $2199.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.5145 10/29/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1136.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-14278.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5         | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1352 | PA      | $637.72       | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 10/26 0.00000             | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    12600000 | PA      | $2278843.00   | 1.31%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745418 FN 04/36 FIXED VAR                    | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         188 | PA      | $194.27       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.45000 05/05/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3830.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $287.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1919.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $605.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-97.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N3                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N3 E 144A    | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      568409 | PA      | $555849.49    | 0.32%             | 2028-06-12      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1414.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-97.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC0TA6 PIMCO SWAPTION 3.6 PUT USD 20260602          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2700000 | NC      | $-38637.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                   | BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1             | CUSIP: 07386HXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      751363 | PA      | $694886.72    | 0.40%             | 2035-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      100000 | NC      | $348.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7105.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 07/30 3.875                            | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2700000 | PA      | $2695833.98   | 1.55%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79624 FG 07/38 FIXED 5.5            | CUSIP: 3128LDVR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         304 | PA      | $307.86       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-1842.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $295.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      120000 | PA      | $105240.91    | 0.06%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $136.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    45560000 | PA      | $47098178.04  | 27.02%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3365 FN 05/41 FIXED VAR                    | CUSIP: 3138EKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11673 | PA      | $12251.13     | 0.01%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                                  | FREDDIE MAC FHR 3368 AF                                | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2830 | PA      | $2836.72      | 0.00%             | 2037-09-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 3YR BOND FUT JUN26 XSFE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          -4 | NC      | $876.24       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-815.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5242 GN 02/45 FIXED 3.5                    | CUSIP: 36184BZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7085 | PA      | $6656.60      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2847.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1728.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          20 | NC      | $-53619.94    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2300000 | NC      | $136241.88    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ0163 FN 12/47 FIXED 3.5                    | CUSIP: 3140H1FD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24001 | PA      | $22356.36     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-4376.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $90.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                                | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      505479 | PA      | $508795.99    | 0.29%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3816.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $324.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-236.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5245 GN 03/45 FIXED 3.5                    | CUSIP: 36184BZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5393 | PA      | $5069.80      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/17/26-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1905.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260715                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-6182.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.75000 09/16/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-329975.34   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                         | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |      900000 | PA      | $905850.00    | 0.52%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-14088.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3681 FN 10/40 FIXED VAR                    | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22871 | PA      | $24004.16     | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-11781.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1175.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $399.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 09/20/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-100895.43   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $51264.59     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA1741 FN 01/39 FIXED 5.5                    | CUSIP: 31416J5B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2444 | PA      | $2513.41      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC63A1 PIMCO SWAPTION 3.4425 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2500000 | NC      | $11552.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-873.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FA                                | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      928243 | PA      | $935780.71    | 0.54%             | 2055-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     6300000 | NC      | $404348.49    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9271 05/08/25-01/04/27 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-13987.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2357.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                 | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     5860000 | PA      | $324572.23    | 0.19%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $686.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-39.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-13.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8        | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202302.87    | 0.12%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $166.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                      | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7    | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   105000000 | PA      | $111057.91    | 0.06%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1               | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         178 | PA      | $178.24       | 0.00%             | 2035-09-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5            | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         159 | PA      | $163.51       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-909.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-106.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1430.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3321.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1800000 | NC      | $-729.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $153.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $166.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $355.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-922.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-11467.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOFTBANK GROUP CORP SNR JP SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-122.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15            | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      400000 | PA      | $405714.37    | 0.23%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $21.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2200000 | NC      | $12913.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1200000 | NC      | $70038.24     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/20/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3506.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-687.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $10.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                            | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A            | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      400000 | PA      | $462114.74    | 0.27%             | 2038-01-22      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $17362.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.38000 12/31/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-5598.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                         | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3615 | PA      | $1787.23      | 0.00%             | 2036-12-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70000 02/20/24-25Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $120392.61    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3500000 | NC      | $-6487.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-110.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1296 FN 08/51 FIXED VAR                    | CUSIP: 3140W1NN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2214410 | PA      | $2138462.93   | 1.23%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1494.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                    | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                 | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500510.41    | 0.29%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1196.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $165.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $294.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N2                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N2 E 144A    | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      518871 | PA      | $510237.52    | 0.29%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85          | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      200000 | PA      | $200970.00    | 0.12%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2000000 | NC      | $-11398.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 851336 FN 02/36 FIXED 5.5                    | CUSIP: 31408GY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         320 | PA      | $326.78       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-221.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                 | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      245005 | PA      | $283482.63    | 0.16%             | 2032-08-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $14.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                           | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A         | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500625.01    | 0.29%             | 2034-08-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0801 FN 09/39 FIXED VAR                    | CUSIP: 31419A3K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         238 | PA      | $245.71       | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-240.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1762.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 11/40 12.75                 | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  1127500000 | PA      | $298843.59    | 0.17%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5960.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-84.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $4401.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3681.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0484 FN 12/38 FIXED VAR                    | CUSIP: 31419ARE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         251 | PA      | $255.90       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985678 FN 10/36 FIXED 5.5                    | CUSIP: 31415P6P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14097 | PA      | $14554.95     | 0.01%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7933.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                     | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2690706 | PA      | $635537.00    | 0.36%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $288.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      300000 | NC      | $427.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $11.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261221                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $7019.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1200000 | NC      | $-3774.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCA9A6 PIMCO SWAPTION 3.589 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2600000 | NC      | $-9627.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-998.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2909.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-13492.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260414                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-332.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-21.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 FH                                | CUSIP: 3137HKGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      966189 | PA      | $973744.91    | 0.56%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3291.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A3      | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      422715 | PA      | $285312.65    | 0.16%             | 2037-06-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A     | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      235881 | PA      | $236208.30    | 0.14%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |           1 | NC      | $7398.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-23384.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0248 GN 03/45 FIXED 3.5                    | CUSIP: 36184KHZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21465 | PA      | $20180.64     | 0.01%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SJX4 PIMCO FXVAN PUT USD KRW 1400.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      370000 | NC      | $2165.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1722.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUTA2 PIMCO SWAPTION 3.174 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      200000 | NC      | $79.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A       | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | PA      | $300585.68    | 0.17%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260401                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-321.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $901.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $48214.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SAUDI ARABIA GOVT EM SP BRC                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-2566.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-15879.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1942.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 936546 FN 07/37 FIXED 6                      | CUSIP: 31412V5F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1299 | PA      | $1345.22      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          -8 | NC      | $79598.37     | 0.05%             |  |  |  | No            |                  1 | 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        |      500000 | PA      | $579148.87    | 0.33%             | 2035-02-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815722 FN 04/35 FIXED 5.5                    | CUSIP: 31406PG78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5347 | PA      | $5376.54      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-279.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    18400000 | PA      | $18400000.00  | 10.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $4433.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $47.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-320.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-1938.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-225.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-10.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                           | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A4       | CUSIP: 92926SAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3836183 | PA      | $1379166.86   | 0.79%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                       | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5          | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $85383.26     | 0.05%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3593.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-47.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3414 FN 07/48 FIXED 3.5                    | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124646 | PA      | $116257.69    | 0.07%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9448 FN 11/54 FIXED 4.5                    | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      272933 | PA      | $266983.48    | 0.15%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5               | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     3200000 | PA      | $176758.57    | 0.10%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-320.93      | -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      | $3.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ0392 FN 09/41 FIXED 4.5                    | CUSIP: 3138ARNJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7468 | PA      | $7384.54      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BANK OF AMERICA CORPORATION SNR S* ICE                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $524.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A      | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      346651 | PA      | $318288.73    | 0.18%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $9.38         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1616.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-56.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1900.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA7176 FN 05/39 FIXED 4.5                    | CUSIP: 31416Q6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         886 | PA      | $877.79       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745343 FN 03/36 FIXED VAR                    | CUSIP: 31403DBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          86 | PA      | $88.94        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7130.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-49.73       | -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      | $1210.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $788.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.00000 09/16/26-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $153952.70    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-112.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+26.5 ULO                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-461827.37   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5905.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                               | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2        | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5028 | PA      | $1385.25      | 0.00%             | 2037-01-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A    | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1300000 | PA      | $1302443.99   | 0.75%             | 2037-02-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -300000 | NC      | $-1448.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.52250 12/01/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-1322.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-443.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 1A           | CUSIP: 12668KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      278348 | PA      | $264087.19    | 0.15%             | 2047-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-9165.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer