# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007242
**Filing Date:** 2026-5
**Character Count:** 496475
**Document Hash:** 78d8e9bbdea46a29ef0b72b275999a8c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007242.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007242

**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:** 261043428

**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 Global Advantage Strategy Bond Fund (Series ID: S000022556)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000065241 | Institutional | PSAIX           |
| C000074976 | Class A       | PGSAX           |

## 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 Global Advantage Strategy Bond Fund

- **b. EDGAR series identifier (if any):** S000022556

- **c. LEI of Series:** YPZSSUF52R5JGG5DTZ31

**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:** $365563071.41

**Total Liabilities:** $178791682.66

**Net Assets:** $186771388.75

**Delayed Delivery Securities:** $4244956.03

**Cash Not Reported:** $2733475.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -412.833500 | **1-Year:** 12839.171100 | **5-Year:** 52413.464300 | **10-Year:** 25108.748200 | **30-Year:** 90.504800

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

- **3-Month:** 359.302700 | **1-Year:** 2260.579000 | **5-Year:** 6244.475000 | **10-Year:** 1440.065800 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000074976 | 0.75%                | 1.31%                | -3.44%               |
| Class ID C000065241 | 0.78%                | 1.34%                | -3.41%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $538620.62               | $790216.83                                 |
| Month 2  | $128161.88               | $1060179.44                                |
| Month 3  | $-164463.20              | $-5803885.90                               |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LEGATRUU

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                     | RFR USD SOFR/4.08316 06/30/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1259.24      | 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      | $83.15        | 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      | $-544.23      | -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      | $-485.01      | -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      | $36148.57     | 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      | $35430.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/50 1                      | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      46933 | PA      | $5360.17      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AL0933 FN 10/41 FIXED VAR                       | CUSIP: 3138EHBB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11791 | PA      | $11922.95     | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR CHF SRFXON3/0.30000 02/15/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $3619.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-22.02       | -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      | $-1319.71     | -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      | $730.50       | 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      | $-558.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                             | KUWAIT INTL BOND SR UNSECURED 144A 10/30 4.136            | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     200000 | PA      | $195930.43    | 0.10%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $34.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A      | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     215836 | PA      | $249734.71    | 0.13%             | 2033-05-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KZT SOLD USD 20260707                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $7717.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.2683 12/17/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-49522.09    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $16.05        | 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      | $346.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $964.99       | 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      | $2091.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $18843.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-444.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $16.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 930158 FN 11/38 FIXED 6                         | CUSIP: 31412NMF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14699 | PA      | $15183.72     | 0.01%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $7290.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 07/46 11.5                     | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  551700000 | PA      | $133094.91    | 0.07%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A        | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     320785 | PA      | $324000.95    | 0.17%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF10                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF10 M1           | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6032 | PA      | $6022.05      | 0.00%             | 2034-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $58.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                               | MITSUBISHI UFJ FIN GRP SR UNSECURED 10/32 VAR             | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1100000 | PA      | $973148.61    | 0.52%             | 2032-10-13      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5161.52     | -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      | $861.76       | 0.00%             |  |  |  | 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      |
| EUROPEAN UNION (EU)                                                     | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75               | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     950000 | PA      | $1063506.23   | 0.57%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7089.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC            | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2538 | PA      | $2428.31      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                      | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C          | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353228 | PA      | $197641.16    | 0.11%             | 2037-01-25      | Floating      | 4.11%                 | 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      |
| N/A                                                                     | 31750S451 PIMCO FXVAN PUT EUR CZK 23.90000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     480000 | NC      | $37.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-116.61      | -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      | $-36086.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 726951 FN 08/33 FIXED 5                         | CUSIP: 31402ETG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        941 | PA      | $950.71       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-8407.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $154.15       | 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      | $-33028.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1237.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $21504.40     | 0.01%             |  |  |  | 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        |     363966 | NC      | $1084.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.77259 03/04/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37679.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                     | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5           | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     436188 | PA      | $258796.89    | 0.14%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                             | STATE OF ISRAEL SR UNSECURED 03/34 5.5                    | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $202835.22    | 0.11%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20261130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2660.50     | -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      | $48.58        | 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      | $4901.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260423                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-279.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $490.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | ELEVANCE HEALTH INC                                       | CUSIP: 28621BDD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     150000 | PA      | $149781.95    | 0.08%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $9377.31      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.2480* 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1409.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                       | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9             | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |     400000 | PA      | $269475.22    | 0.14%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $236.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                           | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                   | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     611387 | PA      | $164346.97    | 0.09%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 828138 FN 07/35 FIXED 5.5                       | CUSIP: 31407EBF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5186 | PA      | $5308.76      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-2000.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                         | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                   | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     125995 | PA      | $145812.07    | 0.08%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260708                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $11153.19     | 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      | $1929.32      | 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      | $-57455.99    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $378.78       | 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      | $-1415.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CCS USD R US SOFR/GBP SONIA-30.05 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $-9132.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO/THE SR UNSECURED 05/31 6.388                    | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $320029.87    | 0.17%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QJ4152 FR 08/54 FIXED 6.5               | CUSIP: 3133CUTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     848186 | PA      | $877830.70    | 0.47%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-156.98      | -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      | $-1036.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $454.88       | 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      | $1711.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AB2038 FN 01/31 FIXED 4.5                       | CUSIP: 31416XHQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $708.31       | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4850000 | PA      | $4676298.95   | 2.50%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                      | FANNIE MAE FNR 2006 48 TF                                 | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12273 | PA      | $12184.04     | 0.01%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 03/19/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $93797.73     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2005-6 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 6 1CB           | CUSIP: 92922FX86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35360 | PA      | $32717.77     | 0.02%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-615.99      | -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      | $-209.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $37127.03     | 0.02%             |  |  |  | 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      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260826                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $7214.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.1800 11/25/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-17116.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A         | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32651 | PA      | $32329.76     | 0.02%             | 2044-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20260810                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $2095.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICG EURO CLO 2023-2 DAC 23-2A                                           | ICG EURO CLO ICGE 2023 2A A1R 144A                        | CUSIP: ACI38GWX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577805.71    | 0.31%             | 2038-01-26      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                    | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     699931 | PA      | $642639.36    | 0.34%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.50000 12/18/24-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $112634.90    | 0.06%             |  |  |  | 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        |      93000 | NC      | $141.55       | 0.00%             |  |  |  | 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      | $204.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG45 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $309707.26    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-525.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 256275 FN 06/26 FIXED 6                         | CUSIP: 31371MT80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.56        | 0.00%             | 2026-06-01      | 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      | $15181.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AP8523 FN 09/42 FIXED 3                         | CUSIP: 3138MCPH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15572 | PA      | $14256.23     | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $82.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.50000 03/18/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-11089.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/2.25000 09/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $83299.27     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-15992.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-6269.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                             | REPUBLIC OF POLAND BONDS 02/35 5.375                      | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     200000 | PA      | $204102.25    | 0.11%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.82500 09/19/45-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-22712.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 256601 FN 02/27 FIXED 6                         | CUSIP: 31371NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $659.85       | 0.00%             | 2027-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $2562.76      | 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      | $345.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260615                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1086.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $120071.51    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5765.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8366.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SBI5 PIMCO FXVAN PUT USD KRW 1350.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -691500 | NC      | $-552.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10775.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                     | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      29000 | PA      | $20564.02     | 0.01%             | 2035-07-09      | Variable      | 4.12%                 | 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        |      38000 | PA      | $37884.22     | 0.02%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1         | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112801 | PA      | $100886.34    | 0.05%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS THB THORON/1.25000 09/16/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $17206.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                         | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995             | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     500000 | PA      | $591604.60    | 0.32%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260624                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1048.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375        | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     200000 | PA      | $199297.61    | 0.11%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 880109 FN 04/36 FIXED 6                         | CUSIP: 31409VYE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $269.75       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                      | CREDIT AGRICOLE SA 144A 01/36 VAR                         | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     700000 | PA      | $721358.45    | 0.39%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/32 0.625                               | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     783517 | PA      | $739506.68    | 0.40%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                           | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A     | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143957 | PA      | $120040.37    | 0.06%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| EMF-NL BV 2008-APRX                                                     | EMF NL BV EMFNL 2008 APRX A2 REGS                         | CUSIP: B39M0PII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      17442 | PA      | $20117.70     | 0.01%             | 2041-04-17      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $280.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 890296 FN 02/41 FIXED VAR                       | CUSIP: 31410LC91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3475 | PA      | $3573.23      | 0.00%             | 2041-02-01      | 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      | $-8639.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2645.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2D          | CUSIP: 59021AAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503885 | PA      | $230253.61    | 0.12%             | 2037-04-25      | Floating      | 4.31%                 | 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      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6635.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11709.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS NOK 4.50000 09/16/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |          1 | NC      | $-284.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-355428.62   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                          | BULGARIA SR UNSECURED REGS 07/35 3.375                    | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     200000 | PA      | $221312.95    | 0.12%             | 2035-07-18      | Fixed         | 3.38%                 | 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      | $70047.22     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5050.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22814.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                     | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   20000000 | PA      | $115830.00    | 0.06%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                      | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75       | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     300000 | PA      | $340061.38    | 0.18%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                    | JPMORGAN CHASE + CO SR UNSECURED 01/37 VAR                | CUSIP: 46647PFJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     500000 | PA      | $489442.81    | 0.26%             | 2037-01-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-2                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 2 2A1             | CUSIP: 61748HVH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10228 | PA      | $9702.32      | 0.01%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5652.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8471 FR 10/54 FIXED 6.5               | CUSIP: 3132DWMU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1874535 | PA      | $1939281.62   | 1.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A7          | CUSIP: 466286AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4878 | PA      | $5061.43      | 0.00%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-5277.90     | -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      | $602.20       | 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      | $-28.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $28607.93     | 0.02%             |  |  |  | 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      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                 | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A4           | CUSIP: 251510MM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135827 | PA      | $124218.77    | 0.07%             | 2036-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1113.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST               | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3             | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     300000 | PA      | $288851.19    | 0.15%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34178.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                              | CHINA GOVT INTL BOND SR UNSECURED 144A 11/28 3.625        | CUSIP: 60367QAE3<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     200000 | PA      | $200061.71    | 0.11%             | 2028-11-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24604.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR            | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104629.37    | 0.06%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $1056.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $135.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                   | IVORY COAST SR UNSECURED REGS 10/31 5.875                 | CUSIP: ACI1G4C46<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     300000 | PA      | $339351.85    | 0.18%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $171.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $93454.52     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $27.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -93000 | NC      | $-37.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20       | CUSIP: 02148JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202155 | PA      | $164528.01    | 0.09%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-36203.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 975103 FN 06/38 FIXED 5.5                       | CUSIP: 31414SX81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1382 | PA      | $1421.21      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-128.65      | -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      | $-1426.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                         | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      98000 | PA      | $94710.22     | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | 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        |    4000000 | PA      | $1259484.47   | 0.67%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG44 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-71861.10    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260428                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-180.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                  | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     500000 | PA      | $494378.59    | 0.26%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -500000 | PA      | $-438503.79   | -0.23%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75               | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    3810000 | PA      | $4359134.92   | 2.33%             | 2030-02-25      | Fixed         | 2.75%                 | 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      |
| N/A                                                                     | CCS USD R USSOFR/JPYMUTKCALM-31.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $1173.04      | 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      | $-21625.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3             | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32921 | PA      | $35607.19     | 0.02%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D              | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168032 | PA      | $80174.79     | 0.04%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4832.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $20012.03     | 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      | $-1553.47     | -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      | $34061.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                 | BCAP LLC TRUST BCAP 2007 AA2 12A1                         | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122750 | PA      | $120034.98    | 0.06%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.06500 06/26/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5152.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-649.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BARCLAYS REPO EUR ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |     170460 | PA      | $197026.23    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $499.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-7404.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                        | KOREA TREASURY BOND BONDS 06/30 1.375                     | CUSIP: ACI1LSN29<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  355110000 | PA      | $211494.07    | 0.11%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-152.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-54009.29    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3418.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                             | REPUBLIC OF SERBIA SR UNSECURED REGS 03/33 1.65           | CUSIP: ACI1W3TJ9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     600000 | PA      | $565078.99    | 0.30%             | 2033-03-03      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3495.51     | -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      | $341.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2051.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.4016 06/10/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-23632.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KZT BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-376.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                         | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2             | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     800000 | PA      | $439437.55    | 0.24%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -81034 | NC      | $-71.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-55267.49    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG45 10Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-8533.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 257154 FN 03/28 FIXED 4.5                       | CUSIP: 31371NTK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $176.28       | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LONG GILT FUTURE  JUN26 IFLL 20260626                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         33 | NC      | $-182646.99   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-HY1                                     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 HY1 A2A         | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255344 | PA      | $202996.59    | 0.11%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KZT SOLD USD 20260715                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $2525.61      | 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      | $846.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $580.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-178.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                            | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75     | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     400000 | PA      | $400535.60    | 0.21%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H08                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H08 AF            | CUSIP: 38380QS78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     294891 | PA      | $294307.05    | 0.16%             | 2068-01-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1017.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                           | ARGENT SECURITIES INC. ARSI 2006 M1 A2D                   | CUSIP: 04012MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     764234 | PA      | $205410.79    | 0.11%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | YI4360438 NIGERIA OMO BILL                                | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   19300000 | PA      | $12167.33     | 0.01%             | 2027-01-14      | None          | 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      | $-4035.79     | -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      | $1089.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-52.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                             | STATE OF ISRAEL SR UNSECURED 03/29 5.375                  | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $406366.25    | 0.22%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-206.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 03/18/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-53654.69    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1208.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A        | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46254 | PA      | $40363.47     | 0.02%             | 2046-07-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5166 FN 10/53 FIXED 6                         | CUSIP: 31418EW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200965 | PA      | $205609.46    | 0.11%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-3                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A             | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92358 | PA      | $47306.23     | 0.03%             | 2036-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1574.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 03/18/26-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4388.93      | 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      | $3706.74      | 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      | $382.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-2420.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1160.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-2550.65     | -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      | $-44.70       | -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      | $66820.94     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4379.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2563.58     | -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      | $254.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/17/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-25494.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC GOVT                                                     | CZECH REPUBLIC BONDS REGS 05/30 0.95                      | CUSIP: BYN6FXII0<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |    5600000 | PA      | $230202.56    | 0.12%             | 2030-05-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SC03 PIMCO FXVAN PUT USD KRW 1350.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -691500 | NC      | $-567.03      | -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      | $1798.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.22515 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1039.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-770309.88   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $72.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $29799.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AI8194 FN 08/41 FIXED 4.5                       | CUSIP: 3138ANC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14385 | PA      | $14244.09     | 0.01%             | 2041-08-01      | 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      | $11062.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                            | ACE SECURITIES CORP. ACE 2004 HE4 M1                      | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77959 | PA      | $71933.35     | 0.04%             | 2034-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-49.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVT                                                          | INDONESIA GOVERNMENT BONDS 03/34 8.375                    | CUSIP: ACI06JNF9<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 9105000000 | PA      | $584992.70    | 0.31%             | 2034-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23046.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $5343.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                 | FREDDIE MAC FHR 4579 FD                                   | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157240 | PA      | $155282.58    | 0.08%             | 2038-01-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $183473.57    | 0.10%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3 144A            | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     582078 | PA      | $485009.16    | 0.26%             | 2051-12-25      | Variable      | 2.50%                 | 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      | $131.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-6676.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                    | GSAMP TRUST GSAMP 2006 FM1 A2D                            | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     517102 | PA      | $339002.51    | 0.18%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $3167.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-2                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 2 1A            | CUSIP: 41161PJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22755 | PA      | $5906.51      | 0.00%             | 2036-02-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $660.10       | 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        |     722113 | PA      | $726851.42    | 0.39%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1             | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96955.41     | 0.05%             | 2027-08-01      | Fixed         | 2.10%                 | 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        |   30620000 | PA      | $30202374.43  | 16.17%            | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $204.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                            | HUNGARY SR UNSECURED REGS 09/33 5.375                     | CUSIP: ACI2JND14<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     400000 | PA      | $485147.32    | 0.26%             | 2033-09-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6.5 JUMBOS                              | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6200000 | PA      | $6425551.78   | 3.44%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CA6106 FN 06/50 FIXED 4                         | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183026 | PA      | $174759.09    | 0.09%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND FUTURE  JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -34 | NC      | $90231.89     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8486 G2 12/52 FIXED 3                      | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80895 | PA      | $72445.58     | 0.04%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A        | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3889 | PA      | $3673.86      | 0.00%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-32579.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          5 | PA      | $0.58         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1830.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 990784 FN 10/38 FIXED 6                         | CUSIP: 31415VUH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29152 | PA      | $30243.46     | 0.02%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AI5887 FN 07/41 FIXED 4.5                       | CUSIP: 3138AKRH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        495 | PA      | $486.65       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/50 1                  | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.78         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1903.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 02/35 5.375                 | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     400000 | PA      | $399820.00    | 0.21%             | 2035-02-08      | Fixed         | 5.38%                 | 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        |     120000 | PA      | $119568.75    | 0.06%             | 2035-08-15      | Fixed         | 4.25%                 | 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        |     500000 | PA      | $502425.00    | 0.27%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $590.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 7.775  2 | CUSIP: ACI2YZPV1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5600000 | PA      | $324941.35    | 0.17%             | 2026-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-14.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-289.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $134469.45    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2625.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260605                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $28.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                         | SANDS CHINA LTD SR UNSECURED 08/28 5.65                   | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     300000 | PA      | $302435.40    | 0.16%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                     | UNITED KINGDOM GILT BONDS REGS 07/54 4.375                | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     200000 | PA      | $220427.13    | 0.12%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.06350 11/17/22-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $65364.59     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.24360 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1337.44     | -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      | $2083.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2334.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $348.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.25000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-66197.86    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    2121589 | PA      | $265126.48    | 0.14%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $101819.52    | 0.05%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $8903.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3304.72      | 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 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      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-401.48      | -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      | $56979.05     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $184.10       | 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      | $-952.02      | -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      | $-435.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $770879.53    | 0.41%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUXL 30Y BND JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -2 | NC      | $1616.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7        | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376866 | PA      | $149446.66    | 0.08%             | 2036-12-25      | Floating      | 6.25%                 | 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      | $19714.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $16788.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                    | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2          | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3117 | PA      | $1372.36      | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-3005.00     | -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      | $-1029.47     | -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      | $-381.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR            | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $392736.30    | 0.21%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-142.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                             | CANADIAN GOVERNMENT RRB BONDS 12/36 3                     | CUSIP: 135087XQ2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     640828 | PA      | $533104.95    | 0.29%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260608                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $54130.59     | 0.03%             |  |  |  | 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                                                                     | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-262746.75   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-164230.49   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/17/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3507.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $91598.21     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $19672.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4562.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88500 07/12/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9458.99     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2840.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 956918 FN 11/37 FIXED 5.5                       | CUSIP: 31413VSF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1071 | PA      | $1090.01      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $92937.96     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                          | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000       | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $313216.00    | 0.17%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $12389.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-7328.61     | -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      | $996.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | SOUTH AFRICA TREASURY BILL 7.93  13.05.2026               | CUSIP: ACI2X3D53<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3100000 | PA      | $182060.71    | 0.10%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260428                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $277.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                                  | ASIAN DEVELOPMENT BANK SR UNSECURED 02/30 6.15            | CUSIP: ACI1K3GD9<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | N/A       |   86850000 | PA      | $867316.82    | 0.46%             | 2030-02-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR EUR ESTRON/2.17000 12/15/27-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-34588.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG46 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $75655.33     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 766972 FN 01/34 FIXED 5                         | CUSIP: 31404FCH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2324 | PA      | $2336.21      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/48 3                                   | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     800000 | PA      | $590156.25    | 0.32%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                             | SOUTHERN CO JR SUBORDINA 09/81 VAR                        | CUSIP: ACI20FY59<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $112137.90    | 0.06%             | 2081-09-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $572.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | WELLS FARGO + COMPANY SR UNSECURED 09/36 VAR              | CUSIP: 95000U4B6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291996.04    | 0.16%             | 2036-09-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AE9954 FN 02/41 FIXED 4                         | CUSIP: 31419MBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2991 | PA      | $2895.67      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6                 | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     835498 | PA      | $854375.82    | 0.46%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $258.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1154.99     | -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      | $-4.08        | -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      | $8431.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1             | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.37         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $28554.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $401.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $8986.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.75000 09/16/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $39274.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT JUN26 XCBT 20260618                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         78 | NC      | $-279761.64   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                               | FANNIE MAE FNR 2024 38 FA                                 | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     328831 | PA      | $330192.82    | 0.18%             | 2051-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 1A1         | CUSIP: 02150QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85412 | PA      | $71666.04     | 0.04%             | 2037-06-25      | Variable      | 3.19%                 | 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      | $524.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.32500 07/06/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $68387.97     | 0.04%             |  |  |  | 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                                                                     | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1002.22      | 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      | $-32594.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1             | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40957 | PA      | $35003.94     | 0.02%             | 2047-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-820.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $69405.28     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/56 4.75                                | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $97546.88     | 0.05%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 987393 FN 10/38 FIXED 6                         | CUSIP: 31415R3A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6910 | PA      | $7140.07      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | 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      |
| SPAIN GOVT                                                              | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/29 3.5           | CUSIP: ACI2KBGK3<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     500000 | PA      | $589980.63    | 0.32%             | 2029-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $40706.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3MO EURO EURIBOR  DEC26 IFLL 20261214                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        243 | NC      | $-242816.78   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                            | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                  | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600179.91    | 0.32%             | 2035-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20270120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-61086.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-230.21      | -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      | $6306.12      | 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      | $143.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                     | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  260480630 | PA      | $1647032.62   | 0.88%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $403.19       | 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      | $-893.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20260812                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $1792.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.00000 06/18/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $540.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4269.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                            | REPUBLIC OF CHILE SR UNSECURED 01/29 4.85                 | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     300000 | PA      | $303975.00    | 0.16%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GUATEMALA GOVT                                                          | REPUBLIC OF GUATEMALA SR UNSECURED 144A 08/36 6.25        | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     500000 | PA      | $509500.00    | 0.27%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/50 1                   | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.17         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-70.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-370798.65   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                      | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/30 4.35     | CUSIP: 86563VCF4<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $298414.77    | 0.16%             | 2030-09-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.8000 06/15/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $153509.52    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.22442 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1027.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-488.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $8026.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2070.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)JUN26 XCBT 20260618                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         40 | NC      | $-66404.72    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-649.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1126.01     | -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      | $715.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98680.01     | 0.05%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1112.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                    | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 2A3           | CUSIP: 762009BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10553 | PA      | $8337.95      | 0.00%             | 2037-06-25      | 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      | $12625.41     | 0.01%             |  |  |  | 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      | $-24442.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOGOTA DISTRITO CAPITAL (AKA: SANTA FE DE BOGOTA DC)                    | SANTA FE DE BOGOTA D.C. SR UNSECURED 144A 11/35 13.140    | CUSIP: 097230AC0<br>LEI: 529900L83GNDA0PLHT11 | Long             | DBT              | NUSS              | CO        |  667000000 | PA      | $179137.61    | 0.10%             | 2035-11-05      | Fixed         | 13.14%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS SEK 2.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $-29331.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-158.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6                 | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72406 | PA      | $73906.37     | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | 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        |    -597000 | NC      | $-241.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                             | STATE OF ISRAEL SR UNSECURED 02/35 5.625                  | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     700000 | PA      | $713012.87    | 0.38%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                  | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $301481.65    | 0.16%             | 2027-08-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                        | PROJECT CASHMERE CLASS A1 144A                            | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    2700000 | PA      | $1862865.50   | 1.00%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $122.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PHP BOUGHT USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $132.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1             | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7734 | PA      | $7733.95      | 0.00%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260601                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $55.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BJ5957 FN 04/48 FIXED 4                         | CUSIP: 3140H7TP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38166 | PA      | $36561.21     | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | 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      | $14763.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4898.81      | 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      | $327.72       | 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        |    1165488 | PA      | $1097525.71   | 0.59%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS SEK 2.26500 01/10/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $-12109.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)       | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22          | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |     200000 | PA      | $236285.84    | 0.13%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $32959.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.0000 03/18/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-6522.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SBH7 PIMCO FXVAN PUT USD KRW 1400.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     691500 | NC      | $2061.36      | 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        |     275000 | PA      | $4421.84      | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CNY R 1.50000 03/17/27-5Y JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-10005.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260630                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-431.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $151.83       | 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      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A2         | CUSIP: 86360KAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172415 | PA      | $144726.61    | 0.08%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10726.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $429.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -3 | NC      | $-1116.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4240.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                             | REPUBLIC OF SERBIA SR UNSECURED REGS 06/34 6              | CUSIP: ACI2PFGN3<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     300000 | PA      | $300827.59    | 0.16%             | 2034-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 898832 FN 11/36 FIXED 5.5                       | CUSIP: 31410VSV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1764 | PA      | $1810.23      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-148950.35   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-121.42      | -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      | $-61.79       | -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 ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $56.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                               | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A       | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      82934 | PA      | $82962.31     | 0.04%             | 2038-04-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $224.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AA7962 FN 01/37 FIXED 4                         | CUSIP: 31416RZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6595 | PA      | $6451.17      | 0.00%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J4                                          | COUNTRYWIDE HOME LOANS CWHL 2006 J4 A5                    | CUSIP: 12669YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191094 | PA      | $63023.97     | 0.03%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.50000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-30405.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                             | CITIBANK NA SR UNSECURED 08/29 4.838                      | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101348.10    | 0.05%             | 2029-08-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                      | DRILLCO HLDG LUX SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       3576 | NS      | $82248.00     | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA7988 G2 04/52 FIXED 3                      | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     568850 | PA      | $508565.25    | 0.27%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                             | REPUBLIC OF SERBIA SR UNSECURED REGS 05/27 3.125          | CUSIP: ACI1MBVD2<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     300000 | PA      | $343290.98    | 0.18%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                    | JPMORGAN CHASE + CO SR UNSECURED 10/29 VAR                | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103923.46    | 0.06%             | 2029-10-23      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| POLARIS 2026-1 PLC 2026-1A                                              | POLARIS PLRS 2026 1A A 144A                               | CUSIP: ACI38C327<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     499991 | PA      | $660231.43    | 0.35%             | 2070-06-27      | Floating      | 4.45%                 | 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      | $140084.19    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 06/20/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1414.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA11                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA11 A1          | CUSIP: 74922XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114313 | PA      | $106593.57    | 0.06%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                           | MALAYSIA GOVERNMENT BONDS 04/28 3.519                     | CUSIP: ACI2FJPF3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    3431000 | PA      | $853097.94    | 0.46%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 01/31 6.5                      | CUSIP: ACI302XY4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1377920720 | PA      | $359655.07    | 0.19%             | 2031-01-22      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                         | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1                | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28958 | PA      | $28013.94     | 0.01%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/30 0.125                               | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     634215 | PA      | $603895.34    | 0.32%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KZT SOLD USD 20260729                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $1124.19      | 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      | $1746.98      | 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      | $501.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX MPC SARL                                          | CHILE ELECTRICITY LUX GOVT GUARANT 144A 01/33 6.01        | CUSIP: 168829AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     301000 | PA      | $311342.36    | 0.17%             | 2033-01-20      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $798.39       | 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      | $656.88       | 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      | $83.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -679000 | PA      | $-621128.16   | -0.33%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS KRW 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-59901.95    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $642.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.93000 06/25/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7066.91      | 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      | $58855.62     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                     | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  142000000 | PA      | $790656.50    | 0.42%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $371.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                       | KOREA HOUSING FINANCE CO COVERED REGS 03/31 2.696         | CUSIP: ACI38Q631<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |     500000 | PA      | $565066.28    | 0.30%             | 2031-03-04      | Fixed         | 2.70%                 | 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      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                     | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  168000000 | PA      | $552381.84    | 0.30%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                                    | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1             | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2056 | PA      | $2031.01      | 0.00%             | 2033-10-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-140.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2025-H5 MORTGAGE TRUST                                            | CROSS MORTGAGE TRUST CROSS 2025 H5 A1 144A                | CUSIP: 227920AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610124 | PA      | $612529.01    | 0.33%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | WELLS FARGO + COMPANY SR UNSECURED 09/29 VAR              | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     380000 | PA      | $375884.61    | 0.20%             | 2029-09-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY SR UNSECURED 05/29 VAR                     | CUSIP: ACI34TWG1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     400000 | PA      | $461650.58    | 0.25%             | 2029-05-04      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1           | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153934 | PA      | $144871.90    | 0.08%             | 2036-07-25      | Floating      | 4.17%                 | 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      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2394.98     | -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      | $-12574.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 08/54 5.875                 | CUSIP: 715638EC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     350000 | PA      | $338275.00    | 0.18%             | 2054-08-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A         | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82681 | PA      | $74715.38     | 0.04%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9              | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2600000 | PA      | $742956.41    | 0.40%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4520.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260423                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-222.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3444.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                        | NEW ZEALAND GOVERNMENT UNSECURED 05/31 1.5                | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     400000 | PA      | $201083.79    | 0.11%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1984.96     | -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      | $15.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.25000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-7852.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-13.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                 | BPCE SA 144A 01/30 VAR                                    | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     375000 | PA      | $384485.90    | 0.21%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AL0065 FN 04/41 FIXED VAR                       | CUSIP: 3138EGCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1313 | PA      | $1300.16      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3900000 | PA      | $-3588512.54  | -1.92%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                            | HUNGARY SR UNSECURED 144A 09/35 6                         | CUSIP: 445545AW6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     400000 | PA      | $406528.57    | 0.22%             | 2035-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                               | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625        | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $532643.50    | 0.29%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $924.12       | 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      | $-8.85        | -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      | $135.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA UNSECURED 144A 07/30 1.75                         | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $203697.80    | 0.11%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-32950.85    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-205.50      | -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      | $40.21        | 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      | $5551.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AB8086 FN 10/37 FIXED 6                         | CUSIP: 31417E6Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15932 | PA      | $16644.23     | 0.01%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $249.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.94000 08/22/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-271.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1086.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | WELLS FARGO + COMPANY SR UNSECURED 04/34 VAR              | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     450000 | PA      | $456887.07    | 0.24%             | 2034-04-24      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1768.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                             | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016            | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     400000 | PA      | $394579.44    | 0.21%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 931923 FN 04/38 FIXED 5.5                       | CUSIP: 31412QLC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5413 | PA      | $5565.99      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CAN 10YR BOND FUT JUN26 XMOD 20260619                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         24 | NC      | $-41525.99    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                 | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25           | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196703.34    | 0.11%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $6586.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 928349 FN 05/27 FIXED 6                         | CUSIP: 31412LL65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3644 | PA      | $3715.13      | 0.00%             | 2027-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                             | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     300000 | PA      | $288529.08    | 0.15%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                    | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 3A1            | CUSIP: 007036AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5395 | PA      | $4762.96      | 0.00%             | 2035-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -3 | NC      | $-399.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A          | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2084 | PA      | $1988.81      | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | 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                                                                     | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $11972.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-18962.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                            | ECOPETROL SA SR UNSECURED 01/36 8.375                     | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     500000 | PA      | $507365.82    | 0.27%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3891.35      | 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      | $-7323.28     | -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      | $-30816.15    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 3.75000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $137041.25    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260626                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3102.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                        | ABN AMRO BANK NV 144A 12/35 VAR                           | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     400000 | PA      | $405713.89    | 0.22%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-5710.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AE0218 FN 08/40 FIXED VAR                       | CUSIP: 31419AG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25937 | PA      | $25682.66     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA3                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA3 A1           | CUSIP: 74923XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215815 | PA      | $204293.07    | 0.11%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA7828 G2 01/52 FIXED 3                      | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     838072 | PA      | $749255.80    | 0.40%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55         | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $172149.99    | 0.09%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $34535.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                           | THAILAND GOVERNMENT BOND SR UNSECURED 06/45 2.98          | CUSIP: ACI2S0HH5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    8388000 | PA      | $245134.09    | 0.13%             | 2045-06-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1400.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-4140.07     | -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        |        146 | NC      | $-383381.41   | -0.21%            |  |  |  | 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        |    -363966 | NC      | $-290.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $317.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                       | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375    | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     300000 | PA      | $336317.74    | 0.18%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS USH3698DCP71 CREDIT SUISSE GROUP AG         | CUSIP: 952NPJII2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     400000 | PA      | $140000.00    | 0.07%             | 2060-12-31      | None          | 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      | $10124.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 12/50 0.7                     | CUSIP: BL6JRNII8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   40000000 | PA      | $133923.95    | 0.07%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A12        | CUSIP: 12668ABJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11549 | PA      | $7230.49      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.25000 09/16/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-445575.39   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                    | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       9021 | PA      | $9030.04      | 0.00%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                     | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  474436200 | PA      | $2980453.62   | 1.60%             | 2029-03-10      | Fixed         | 0.10%                 | 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      | $20012.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-305.02      | -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      | $193.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | FWD0M1400 COLOMBIA GOVT NDF                               | CUSIP: 990ADDTL1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 8930600000 | PA      | $1954927.97   | 1.05%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4724.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                  | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR        | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $702841.94    | 0.38%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-1075.13     | -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      | $59.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 1A4            | CUSIP: 17307GRE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12622 | PA      | $12253.43     | 0.01%             | 2035-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 256852 FN 08/27 FIXED 6                         | CUSIP: 31371NH57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2083 | PA      | $2124.23      | 0.00%             | 2027-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-223.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.50000 09/18/24-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $288837.16    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2434.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 1.75000 03/16/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-35184.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-411.45      | -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      | $-2967.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $5238.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                            | ALIMENTATION COUCHETARD INC                               | CUSIP: 01626VDA8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $249717.88    | 0.13%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NATWEST GROUP PLC SR UNSECURED 03/35 VAR                  | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     550000 | PA      | $568737.15    | 0.30%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.97 11/06/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-74189.22    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS P SIBCSORA-5/SGXF75438295 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | SG        |          1 | NC      | $385.80       | 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                  | Short            | ABS-MBS          | USGSE             | US        |   -2900000 | PA      | $-2997908.61  | -1.61%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4047.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6346.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -20 | NC      | $197747.39    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNGARY GOVT                                                            | HUNGARY SR UNSECURED 144A 03/36 5.5                       | CUSIP: 445545AU0<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     200000 | PA      | $195165.36    | 0.10%             | 2036-03-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                         | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA         | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   22900000 | PA      | $236832.82    | 0.13%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS SEK 2.47375 02/03/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $-8169.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-465.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3830.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                            | ING GROEP NV SR UNSECURED 03/36 VAR                       | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $202409.20    | 0.11%             | 2036-03-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1           | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2952 | PA      | $2792.50      | 0.00%             | 2034-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                               | MITSUBISHI UFJ FIN GRP SR UNSECURED 04/31 VAR             | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     800000 | PA      | $811666.24    | 0.43%             | 2031-04-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS SEK 2.75000 09/16/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $-7292.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BF0463 FN 03/60 FIXED 3                         | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227473 | PA      | $198020.72    | 0.11%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-SCHATZ FUT   JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -93 | NC      | $100180.83    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-12711.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         10 | PA      | $1.03         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-828.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260812                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1251.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-5                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 5 2A3            | CUSIP: 059523AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126181 | PA      | $108242.65    | 0.06%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $44.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-768479.69   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KZT SOLD USD 20260729                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $1659.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55100 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15052.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                            | REPUBLIC OF ECUADOR SR UNSECURED 144A 01/39 9.25          | CUSIP: ACI389068<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     200000 | PA      | $196650.00    | 0.11%             | 2039-01-29      | Fixed         | 9.25%                 | 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        |    -475000 | PA      | $-399241.21   | -0.21%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 09/16/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-179203.55   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.00000 06/18/25-2Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $8420.87      | 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      | $-127.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A   | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     563821 | PA      | $506941.35    | 0.27%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $513.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/17/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-47510.40    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-3                                 | THORNBURG MORTGAGE SECURITIES TMST 2004 3 A               | CUSIP: 885220FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10521 | PA      | $10032.69     | 0.01%             | 2034-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.02000 05/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1348.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                              | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1   | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    2900000 | PA      | $904192.65    | 0.48%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-10202.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260428                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1217.92     | -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      | $529.61       | 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      | $439.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                     | INTESA SANPAOLO SPA 144A 11/33 7.2                        | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $224242.15    | 0.12%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $18175.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $673.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1976.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                          | BULGARIA SR UNSECURED REGS 07/45 4.125                    | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     200000 | PA      | $216645.63    | 0.12%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $50.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                            | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A               | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     174764 | PA      | $174945.25    | 0.09%             | 2030-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-67922.13    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-166532.78   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-190.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC GOVT                                                     | CZECH REPUBLIC BONDS REGS 08/28 2.5                       | CUSIP: ACI06HZS2<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     900000 | PA      | $40754.38     | 0.02%             | 2028-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-40499.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1              | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         77 | PA      | $8.67         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                      | DRILLCO HLDG LUX S A COMMON STOCK                         | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      32190 | NS      | $740370.00    | 0.40%             |  |  |  | Yes           |                  3 | On Loan: No      |
| THAILAND GOVT                                                           | THAILAND GOVERNMENT BOND SR UNSECURED 06/40 2.7           | CUSIP: ACI2SCV91<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   26500000 | PA      | $791255.61    | 0.42%             | 2040-06-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-653.04      | -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      | $-715.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                     | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    2700000 | PA      | $12667.65     | 0.01%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1024.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-10461.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                     | UNITED KINGDOM GILT BONDS REGS 03/30 4.375                | CUSIP: BSQNRDII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    3100000 | PA      | $4096145.01   | 2.19%             | 2030-03-07      | Fixed         | 4.38%                 | 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        |      81034 | NC      | $258.58       | 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      | $-6322.54     | -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      | $3441.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 AF6             | CUSIP: 126670TH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6591 | PA      | $6490.32      | 0.00%             | 2036-07-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-68088.38    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-63531.64    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ELSTREE 2025-2 1ST PLC 252-1ST                                          | ELSTREE FUNDING ELSTR 252 1ST A REGS                      | CUSIP: ACI30PVB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     491627 | PA      | $649358.49    | 0.35%             | 2065-10-21      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KZT SOLD USD 20260720                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $2052.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 2A11        | CUSIP: 751151AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31228 | PA      | $23859.60     | 0.01%             | 2036-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 11/40 12.75                    | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  371500000 | PA      | $98465.98     | 0.05%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                         | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1   | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     500000 | PA      | $275617.85    | 0.15%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1A                               | BRACCAN MORTGAGE FUNDING BRACN 2025 1A A 144A             | CUSIP: ACI2X1P88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     490633 | PA      | $649337.42    | 0.35%             | 2067-05-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $10.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/9.69500 11/07/25-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-76367.87    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                             | CANADIAN GOVERNMENT BONDS 06/34 3                         | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2900000 | PA      | $2032402.03   | 1.09%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $4706.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                             | REPUBLIC OF SERBIA SR UNSECURED 144A 05/27 3.125          | CUSIP: ACI1MBV00<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    1100000 | PA      | $1258733.60   | 0.67%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-86.27       | -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      | $6.69         | 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      | $-1986.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.45100 05/27/25-25Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-269469.76   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                  | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $393578.93    | 0.21%             | 2033-11-06      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $398.16       | 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      | $-1225.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-49.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOROCCO GOVT                                                            | KINGDOM OF MOROCCO SR UNSECURED REGS 04/29 3.875          | CUSIP: ACI2W0J21<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |    1000000 | PA      | $1149851.36   | 0.62%             | 2029-04-02      | Fixed         | 3.88%                 | 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        | 1555000000 | PA      | $1709616.95   | 0.92%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $190943.01    | 0.10%             |  |  |  | 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      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/48 3.375                               | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     980000 | PA      | $768266.40    | 0.41%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                                | ARCANO EURO CLO ARCAN 2A A 144A                           | CUSIP: ACI2YDJX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577984.17    | 0.31%             | 2039-07-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $107.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-462.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/9.82000 11/14/25-9Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-30648.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                         | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC             | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     300000 | PA      | $307076.58    | 0.16%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/1.5000 06/17/20-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-52443.88    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5048.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                               | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF3            | CUSIP: 759676AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478278 | PA      | $159799.65    | 0.09%             | 2036-08-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1023.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-439.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2235.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAGYAR EXPORT-IMPORT BANK RT (AKA: EXPORT-IMPORT BANK OF HUNGARY)       | MAGYAR EXPORT IMPORT BAN GOVT GUARANT 144A 12/27 6.125    | CUSIP: 55977YAA6<br>LEI: 529900O4UGETQ9Q3AA63 | Long             | DBT              | MUN               | HU        |     700000 | PA      | $708335.52    | 0.38%             | 2027-12-04      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $18233.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                         | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1   | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     300000 | PA      | $155863.89    | 0.08%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-8846.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 07/50 1.5                    | CUSIP: BD9H2PII9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2050-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                         | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/36 5   | CUSIP: ACI2KMVF3<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    1000000 | PA      | $668265.05    | 0.36%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                         | BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1                | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186566 | PA      | $60633.88     | 0.03%             | 2035-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                               | MAN GLG EURO CLO GLGE 5A A1R 144A                         | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |       8597 | PA      | $9949.12      | 0.01%             | 2031-12-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     776628 | PA      | $7563579.09   | 4.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | OIS COP P 5.96/IBR 02/11/19 JPM                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $302.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $2885.08      | 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      | $-67.81       | -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      | $717.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AH3256 FN 01/41 FIXED 4                         | CUSIP: 3138A4TN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4842 | PA      | $4679.41      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-228.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                             | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR               | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     500000 | PA      | $510067.27    | 0.27%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-12789.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.98808 06/30/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $30842.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EGP SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $-17906.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-115.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                               | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5      | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     800000 | PA      | $805200.00    | 0.43%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2569.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.23838 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1253.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/46 4.625                               | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $96414.06     | 0.05%             | 2046-02-15      | Fixed         | 4.62%                 | 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      |
| 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 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      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15369 | PA      | $10868.78     | 0.01%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D              | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636542 | PA      | $332098.11    | 0.18%             | 2036-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | REPUBLIC OF COLOMBIA SR UNSECURED 11/34 5.75              | CUSIP: ACI35CC95<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     600000 | PA      | $655186.76    | 0.35%             | 2034-11-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1110.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-15065.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A2        | CUSIP: 92922F5U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39963 | PA      | $37724.12     | 0.02%             | 2045-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-28812.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1         | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40854 | PA      | $39526.60     | 0.02%             | 2035-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                      | FORESEA HLDG S A COMMON STOCK                             | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       1493 | NS      | $34339.00     | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1137.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          5 | PA      | $0.57         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-239.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1170.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC DISC COML PAPER 05/26 ZCP                         | CUSIP: 40412DEB1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $497509.25    | 0.27%             | 2026-05-11      | None          | 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      | $-1849.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                 | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D          | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439586 | PA      | $139607.63    | 0.07%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| QATARENERGY                                                             | QATAR ENERGY SR UNSECURED 144A 07/31 2.25                 | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     200000 | PA      | $176287.20    | 0.09%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-823.33      | -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      | $1948.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/17/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15370.07     | 0.01%             |  |  |  | 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      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2063.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $94998.59     | 0.05%             |  |  |  | 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      |
| JABIL INC                                                               | JABIL INC                                                 | CUSIP: 46652MED3<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     250000 | PA      | $248627.58    | 0.13%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/2.8500 12/31/24-5Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $2343.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-649.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-797.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 995705 FN 01/39 FIXED VAR                       | CUSIP: 31416CDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2309 | PA      | $2374.21      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260521                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $458.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.22687 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1066.83     | -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      | $-1482.21     | -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      | $1005.24      | 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      | $3601.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                              | CAPITAL FOUR CLO CFOUR 10A A 144A                         | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $807687.65    | 0.43%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2006-CL1                                              | PRIME MORTGAGE TRUST PRIME 2006 CL1 A1                    | CUSIP: 74161QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11652 | PA      | $11647.39     | 0.01%             | 2035-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.24510 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2723.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 2A2           | CUSIP: 93934FEN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49856 | PA      | $46556.93     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FAIR OAKS LOAN FUNDING V DAC 5A                                         | FAIR OAKS LOAN FUNDING FOAKS 5A AR 144A                   | CUSIP: ACI384R29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577600.37    | 0.31%             | 2036-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AC9305 FN 08/41 FIXED 5                         | CUSIP: 31417WKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14157 | PA      | $14315.53     | 0.01%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR CHF SRFXON3/0.25000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $-3086.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                        | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2               | CUSIP: BMF7LTII5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1000000 | PA      | $506506.23    | 0.27%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $2925593.75   | 1.57%             | 2056-04-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL JSC                                                | KAZMUNAYGAS NATIONAL CO SR UNSECURED REGS 04/33 3.5       | CUSIP: ACI1S0N15<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     550000 | PA      | $494185.26    | 0.26%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | SOUTH AFRICA TREASURY BILL SA TREASURY BILL 0 08/26       | CUSIP: ACI34G249<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   21800000 | PA      | $1261754.14   | 0.68%             | 2026-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KZT SOLD USD 20260716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $6615.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $19535.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12M3         | CUSIP: 161630CA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94446 | PA      | $92199.71     | 0.05%             | 2037-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $593.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                       | BDS LTD BDS 2021 FL10 A 144A                              | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     187755 | PA      | $187983.79    | 0.10%             | 2036-12-16      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $36.24        | 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        |     600000 | PA      | $176053.33    | 0.09%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1562.39     | -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      | $483.63       | 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      | $7447.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AH9502 FN 05/41 FIXED 5                         | CUSIP: 3138ABRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12618 | PA      | $12735.45     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.00000 06/18/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-3327.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A3         | CUSIP: 02150JAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420513 | PA      | $167792.34    | 0.09%             | 2037-05-25      | Fixed         | 6.00%                 | 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        | 1045000000 | PA      | $1105290.63   | 0.59%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $27.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5                | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | 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        |     343000 | NC      | $522.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/9.65500 11/07/25-9Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-3432.80     | -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      | $-4853.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2529.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $338.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $243.53       | 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      | $486.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $97257.55     | 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      | $-245.70      | -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      | $-8823.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-60.32       | -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      | $63474.22     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260810                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1264.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3         | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128199 | PA      | $116649.48    | 0.06%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $164616.49    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20270120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-56380.31    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 972295 FN 02/38 FIXED 5.5                       | CUSIP: 31414PUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3753 | PA      | $3868.62      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5422 FN 07/54 FIXED 6.5                       | CUSIP: 31418FAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86541 | PA      | $89530.15     | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-170758.53   | -0.09%            |  |  |  | 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        |     700000 | PA      | $700958.54    | 0.38%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CZK SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $258.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVIDUS CLO VII DAC 7A                                                 | PROVIDUS CLO PRVD 7A ARR 144A                             | CUSIP: ACI38JRZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $576189.20    | 0.31%             | 2038-07-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                             | REPUBLIC OF POLAND BONDS 02/30 4.875                      | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     200000 | PA      | $204548.24    | 0.11%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/2.8800 12/04/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $4898.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-323.30      | -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      | $1408.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 2A1          | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     307283 | PA      | $127999.04    | 0.07%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                           | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102    | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     167462 | PA      | $171619.70    | 0.09%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1488.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-18.87       | -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      | $2788.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A       | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131680 | PA      | $109802.84    | 0.06%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-29T1                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 29T1 2A25       | CUSIP: 02147PCJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19750 | PA      | $13787.60     | 0.01%             | 2036-10-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-20.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000                 | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1500000 | PA      | $87570.66     | 0.05%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2405.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS NOK 3.75000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |          1 | NC      | $-67704.36    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AUST 3YR BOND FUT JUN26 XSFE 20260615                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         23 | NC      | $-6802.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $67.80        | 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      | $3776.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-3599.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | GOLDMAN SACHS GROUP INC SR UNSECURED 04/31 VAR            | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $406840.54    | 0.22%             | 2031-04-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 08/29 11                       | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 2610200000 | PA      | $658111.59    | 0.35%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                   | CROWN CASTLE 04/26 ZCP                                    | CUSIP: 22823QD99<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249737.45    | 0.13%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CCS USD R USSOFR/JPYMUTKCALM-35.65 CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $193211.19    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B          | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408273 | PA      | $199513.11    | 0.11%             | 2037-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                       | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4          | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     463972 | PA      | $105474.56    | 0.06%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3142.24     | -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        |     381000 | NC      | $579.88       | 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      | $-1806.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2969.02     | -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        |    1700000 | PA      | $1749181.77   | 0.94%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KZT BOUGHT USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-6209.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 986751 FN 07/38 FIXED 5.5                       | CUSIP: 31415REY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7021 | PA      | $7205.49      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A3            | CUSIP: 07387AHB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10724 | PA      | $9861.08      | 0.01%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1245.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $76.24        | 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      | $-1635.67     | -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      | $832.70       | 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      | $2264.05      | 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      | $1323.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1             | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26937 | PA      | $25948.05     | 0.01%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                      | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5              | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |     367870 | PA      | $361501.10    | 0.19%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $853.81       | 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      | $-4674.93     | -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      | $-28.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2833.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                          | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5      | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91135.61     | 0.05%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5167 FN 10/53 FIXED 6.5                       | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192498 | PA      | $199567.96    | 0.11%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1241.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA 04/26 ZCP                        | CUSIP: ACI2WQ115<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4250000 | PA      | $250546.72    | 0.13%             | 2026-04-22      | None          | 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      | $3357.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00500 09/29/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5568.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | FWD0Z35T8 COLOMBIA GOVT                                   | CUSIP: 990ADDTR8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 9294700000 | PA      | $2302007.15   | 1.23%             | 2035-01-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS SGD SIBSORA/2.00000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $27296.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR CHF SRFXON3/-0.50000 09/15/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $-14658.64    | -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      | $-1710.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-10.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A           | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38583 | PA      | $32278.11     | 0.02%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1603.77      | 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      | $-4700.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  744080000 | PA      | $512373.53    | 0.27%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                       | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375    | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     400000 | PA      | $408990.23    | 0.22%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                    | ROYAL BANK OF CANADA SR UNSECURED 11/31 VAR               | CUSIP: 78017DAQ1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     400000 | PA      | $393402.86    | 0.21%             | 2031-11-03      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 06/49 3                  | CUSIP: ACI2MHL63<br>LEI: 969500KCGF3SUYJHPV70 | Short            | DBT              | NUSS              | FR        |    -900000 | PA      | $-841397.70   | -0.45%            | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $44.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                           | MALAYSIA GOVERNMENT BONDS 04/31 2.632                     | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1400000 | PA      | $333686.84    | 0.18%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-874.16      | -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        |     178000 | NC      | $255.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 889684 FN 08/37 FIXED VAR                       | CUSIP: 31410KM92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4370 | PA      | $4512.35      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                   | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A          | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577615.92    | 0.31%             | 2036-08-29      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $24.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-575.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 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      |
| N/A                                                                     | OIS COP IBR/9.78750 12/17/25-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-2212.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A           | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1518 | PA      | $1489.88      | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | 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      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                         | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2           | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36904 | PA      | $34388.98     | 0.02%             | 2037-02-25      | Floating      | 6.12%                 | 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      | $-604.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 03/18/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $50888.01     | 0.03%             |  |  |  | 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      | $10466.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $22.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIPPINES GOVT                                                        | REPUBLIC OF PHILIPPINES SR UNSECURED 01/36 6.25           | CUSIP: 718286BM8<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   20000000 | PA      | $314353.91    | 0.17%             | 2036-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 03/51 0.7                     | CUSIP: BNKDTMII1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   40000000 | PA      | $132721.72    | 0.07%             | 2051-03-20      | Fixed         | 0.70%                 | 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        |     900000 | PA      | $886564.76    | 0.47%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $31846.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                  | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A     | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147593 | PA      | $98764.04     | 0.05%             | 2037-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                             | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A              | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     407675 | PA      | $408727.34    | 0.22%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR              | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     500000 | PA      | $498010.32    | 0.27%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260624                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1343.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 13A2          | CUSIP: 07384MH47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33730 | PA      | $33038.10     | 0.02%             | 2034-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                             | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS                | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     131315 | PA      | $151021.37    | 0.08%             | 2050-12-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-8250.29     | -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      | $120.90       | 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      | $-1183.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1          | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18510 | PA      | $14788.64     | 0.01%             | 2037-07-25      | Variable      | 4.90%                 | 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        |     500000 | PA      | $23751.79     | 0.01%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4262.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $21.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.2333* 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1172.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 740225 FN 09/33 FIXED 4.5                       | CUSIP: 31402WLE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $716.40       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5            | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     617068 | PA      | $76060.74     | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C              | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485888 | PA      | $212006.69    | 0.11%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AA0869 FN 01/39 FIXED 6                         | CUSIP: 31416H6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3446 | PA      | $3553.58      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3372.47     | -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      | $326.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 07/44 5.375         | CUSIP: 836205AS3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $156440.09    | 0.08%             | 2044-07-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                 | FREDDIE MAC FHR 4579 SD                                   | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157240 | PA      | $7456.19      | 0.00%             | 2038-01-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                            | ALIMENTATION COUCHETARD INC                               | CUSIP: 01626VDM2<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $249406.15    | 0.13%             | 2026-04-21      | None          | 0.00%                 | 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        |       1229 | PA      | $1204.17      | 0.00%             | 2035-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-33695.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CZK SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-1302.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                            | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5      | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     300000 | PA      | $296028.08    | 0.16%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $81.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 2A1              | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118607 | PA      | $76871.37     | 0.04%             | 2035-10-25      | Floating      | 5.25%                 | 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      |
| TOWD POINT MORTGAGE TRUST 2020-2                                        | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A            | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288962 | PA      | $264402.41    | 0.14%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 03/18/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-585.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-106674.13   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-47.30       | -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      | $-2623.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                        | KOREA TREASURY BOND BONDS 06/28 2.625                     | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1708930000 | PA      | $1104508.91   | 0.59%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST               | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45          | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     300000 | PA      | $296743.34    | 0.16%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $989.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 03/30 5.25                      | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     600000 | PA      | $703975.20    | 0.38%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $682.42       | 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      | $1951.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                              | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3   | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1090000 | PA      | $1267158.83   | 0.68%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-26721.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                             | IMPAC SECURED ASSETS CORP. IMSA 2005 1 4A                 | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23991 | PA      | $23225.01     | 0.01%             | 2035-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                 | FREDDIE MAC FHR 5511 FB                                   | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     783502 | PA      | $790053.98    | 0.42%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                   | BX TRUST BX 2021 21M A 144A                               | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267766 | PA      | $267632.92    | 0.14%             | 2036-10-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                              | LCM LTD PARTNERSHIP LCM 30A AR 144A                       | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     173813 | PA      | $174006.56    | 0.09%             | 2031-04-20      | Floating      | 5.01%                 | 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        |   28400000 | PA      | $1649495.16   | 0.88%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4796.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.25000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-20735.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2107.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                     | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/32 5.454         | CUSIP: 86562MDT4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1000000 | PA      | $1031808.24   | 0.55%             | 2032-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $121554.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG46 10Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2023.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                               | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876           | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     900000 | PA      | $923155.71    | 0.49%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                 | DOMINICAN REPUBLIC SR UNSECURED REGS 09/32 4.875          | CUSIP: P3579ECH8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     200000 | PA      | $184780.00    | 0.10%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -100000 | PA      | $-101819.52   | -0.05%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SHO6 PIMCO FXVAN PUT EUR CZK 24.04000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     269000 | NC      | $156.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 09/16/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-105176.05   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 991083 FN 11/38 FIXED 6                         | CUSIP: 31415V6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3168 | PA      | $3272.02      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                             | PHILLIPS 66                                               | CUSIP: 71855BD25<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249944.68    | 0.13%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                          | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A             | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40914 | PA      | $39892.78     | 0.02%             | 2035-06-25      | Floating      | 4.13%                 | 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      | $-284.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 09/31 5.125                     | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $114792.11    | 0.06%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1           | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54504 | PA      | $24981.83     | 0.01%             | 2036-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                      | DRILLCO HLDG LUX S A COMMON STOCK                         | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      13438 | NS      | $309074.00    | 0.17%             |  |  |  | No            |                  3 | On Loan: No      |
| ITALY GOVT                                                              | BUONI POLIENNALI DEL TES SR UNSECURED REGS 04/28 3.4      | CUSIP: ACI2BGT93<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1900000 | PA      | $2219086.79   | 1.19%             | 2028-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED REGS 10/50 1                 | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          9 | PA      | $1.02         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3303752.24   | 1.77%             | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                  | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 4A1           | CUSIP: 61749CAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120309 | PA      | $64208.14     | 0.03%             | 2036-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                 | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1          | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5312 | PA      | $5251.77      | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                     | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      30960 | PA      | $25219.14     | 0.01%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | 31750RXP7 PIMCO FXVAN PUT USD SGD 1.23650000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -446000 | NC      | $-2729.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CNY R 1.50000 03/17/27-5Y BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-16326.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                             | REPUBLIC OF POLAND SR UNSECURED 10/33 4.875               | CUSIP: 731011AV4<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     300000 | PA      | $300507.18    | 0.16%             | 2033-10-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-780.46      | -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      | $-197.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                     | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A           | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      88828 | PA      | $102800.08    | 0.06%             | 2033-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A11       | CUSIP: 02149JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     491832 | PA      | $163845.10    | 0.09%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) JUN26 XCBT 20260630                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         25 | NC      | $-34502.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE            | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1950 | PA      | $1923.77      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                            | LEHMAN MORTGAGE TRUST LMT 2007 8 1A1                      | CUSIP: 52521YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52943 | PA      | $51966.12     | 0.03%             | 2037-09-25      | 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        |    1680000 | PA      | $1685572.31   | 0.90%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-306.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875         | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     600000 | PA      | $687285.03    | 0.37%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                       | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/34 5        | CUSIP: 80413TBG3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    1600000 | PA      | $1593988.85   | 0.85%             | 2034-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $113840.91    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                                              | PACIFICORP 1ST MORTGAGE 02/34 5.45                        | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299018.43    | 0.16%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 960119 FN 11/37 FIXED 6                         | CUSIP: 31414ADY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9852 | PA      | $10137.46     | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3192.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1.5                 | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    4416774 | PA      | $544322.38    | 0.29%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $40911.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $13821.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1975.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.50000 09/16/26-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $21356.01     | 0.01%             |  |  |  | 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        |   33400000 | PA      | $1952670.05   | 1.05%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-87016.64    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $229.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-28671.49    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/29 3.875                               | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     158261 | PA      | $170779.31    | 0.09%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CNY R 1.50000 03/17/27-5Y BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-7391.12     | -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      | $4141.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                     | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    5000000 | PA      | $17934.22     | 0.01%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR2                                        | GSR MORTGAGE LOAN TRUST GSR 2007 AR2 2A1                  | CUSIP: 3622N6AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10347 | PA      | $5182.79      | 0.00%             | 2037-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-18.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260421                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1113.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15943.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4149.88      | 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      | $-4201.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SBZ7 PIMCO FXVAN PUT USD KRW 1400.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     691500 | NC      | $2098.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                  | CHINA DEVELOPMENT BANK UNSECURED 01/34 2.63               | CUSIP: ACI2MPQS2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |   10910000 | PA      | $1668954.26   | 0.89%             | 2034-01-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 889928 FN 09/38 FIXED VAR                       | CUSIP: 31410KVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2848 | PA      | $2928.00      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 986422 FN 08/38 FIXED 5.5                       | CUSIP: 31415QYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1845 | PA      | $1863.99      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/9.32860 12/17/25-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $206105.91    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.32500 07/06/26-4Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4675.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $21553.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AJ4016 FN 10/41 FIXED 4                         | CUSIP: 3138AVPA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2530 | PA      | $2449.16      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $306450.00    | 0.16%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $11.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                     | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1         | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48879 | PA      | $46297.29     | 0.02%             | 2046-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                      | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A     | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248190 | PA      | $209088.98    | 0.11%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                               | JABIL INC                                                 | CUSIP: 46652MDG7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249499.45    | 0.13%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-78.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0810 G2 12/55 FIXED 3.5                    | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5699998 | PA      | $5232100.06   | 2.80%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1429.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $67703.27     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                     | NEXTERA ENERGY CAP HLDGS INC                              | CUSIP: 65339NDL5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249441.38    | 0.13%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                     | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  250000000 | PA      | $1124964.56   | 0.60%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1056.36      | 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      | $967.17       | 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      | $386.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/32 0.125                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     586600 | PA      | $540034.16    | 0.29%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-501.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                           | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3       | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     123200 | PA      | $118006.05    | 0.06%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-174.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                                | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                   | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500562.04    | 0.27%             | 2034-04-20      | Floating      | 4.85%                 | 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        |    -381000 | NC      | $-153.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                      | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   60000000 | PA      | $364559.40    | 0.20%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                     | UNITED KINGDOM GILT BONDS REGS 01/56 5.375                | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     100000 | PA      | $129351.50    | 0.07%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $775.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $266.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A                    | BLACKROCK EUROPEAN CLO DAC BECLO 3A AR 144A               | CUSIP: ACI1Y3X37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577326.96    | 0.31%             | 2035-07-19      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CNY R 1.50000 03/17/27-5Y SCX                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-8527.37     | -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      | $2557.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                    | GSAMP TRUST GSAMP 2007 FM2 A2B                            | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119307 | PA      | $73455.46     | 0.04%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C              | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168032 | PA      | $80190.57     | 0.04%             | 2036-11-25      | Floating      | 3.93%                 | 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      |
| EGYPTIAN GOVT                                                           | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                  | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   17600000 | PA      | $317035.61    | 0.17%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                     | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    3800000 | PA      | $18175.26     | 0.01%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $259685.99    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                 | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 6.6            | CUSIP: 25714PEZ7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     700000 | PA      | $701330.00    | 0.38%             | 2036-06-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1048.35     | -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      | $729.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  296000000 | PA      | $205636.65    | 0.11%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AK3264 FN 02/27 FIXED 3                         | CUSIP: 3138E7TW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1083 | PA      | $1076.83      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                | PETRONAS CAPITAL LTD COMPANY GUAR 144A 01/32 2.48         | CUSIP: 71675CAB4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $179107.67    | 0.10%             | 2032-01-28      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-8086.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $234.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                      | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5              | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |     264392 | PA      | $259814.61    | 0.14%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                                     | TIKEHAU TIKEH 5A AR 144A                                  | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $462208.23    | 0.25%             | 2038-10-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260421                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $505.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC DISC COML PAPER 05/26 ZCP                         | CUSIP: 40412DED7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $248691.48    | 0.13%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20270128                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $68394.88     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-42137.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                        | TREASURY CORP VICTORIA LOCAL GOVT G 09/36 4.75            | CUSIP: ACI2972L8<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     400000 | PA      | $255560.31    | 0.14%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032443<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47000 | PA      | $45250.95     | 0.02%             | 2041-04-16      | 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      | $463.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                               | FANNIE MAE FNR 2025 19 FC                                 | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     556022 | PA      | $560720.19    | 0.30%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 968976 FN 01/38 FIXED 5.5                       | CUSIP: 31414K6M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3598 | PA      | $3699.72      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | 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 VND SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | VN        |          1 | NC      | $4112.71      | 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      | $-3274.33     | -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      | $-800.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260611                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-262.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                        | TREASURY CORP VICTORIA LOCAL GOVT G 11/37 2               | CUSIP: ACI1Q9PP3<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1400000 | PA      | $653094.43    | 0.35%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-321734.51   | -0.17%            |  |  |  | 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        |    1700000 | PA      | $1757394.70   | 0.94%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $211.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-287.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $33.14        | 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      | $46.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/36 4.125                               | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $98445.31     | 0.05%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                             | PHILLIPS 66                                               | CUSIP: 71855BD82<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     650000 | PA      | $649419.23    | 0.35%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS SGD SIBSORA/1.75000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $140276.57    | 0.08%             |  |  |  | No            |                  2 | 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      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $101788.27    | 0.05%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                  | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507      | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     756846 | PA      | $799379.94    | 0.43%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 942125 FN 07/37 FIXED 5.5                       | CUSIP: 31413DD61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1576 | PA      | $1623.35      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | 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      | $18854.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO IV DAC 4A                                              | CAPITAL FOUR CLO CFOUR 4A ARR 144A                        | CUSIP: ACI38L038<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $576173.25    | 0.31%             | 2038-04-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $7908.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-978.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1199.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4104.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                       | KOREA HOUSING FINANCE CO COVERED REGS 09/30 2.765         | CUSIP: ACI2ZX6R5<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |     300000 | PA      | $341078.69    | 0.18%             | 2030-09-02      | Fixed         | 2.77%                 | 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                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2536.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 02/29 2.75               | CUSIP: ACI2FJ6B3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1500000 | PA      | $1725626.59   | 0.92%             | 2029-02-25      | Fixed         | 2.75%                 | 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      | $-572272.56   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.2500 03/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-19639.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM3                                  | BARCLAYS MORTGAGE LOAN TRUST BARC 2025 NQM3 A1 144A       | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     949238 | PA      | $953845.62    | 0.51%             | 2065-05-25      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                    | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 09/35 4.75     | CUSIP: ACI2MHTY4<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     500000 | PA      | $325045.88    | 0.17%             | 2035-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $373.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-3789.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                          | COUNTRYWIDE HOME LOANS CWHL 2006 21 A13                   | CUSIP: 12543PAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102922 | PA      | $43054.51     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A1          | CUSIP: 74922LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113614 | PA      | $81540.99     | 0.04%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EGP SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $-1240.30     | -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      | $-32870.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000               | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    9000000 | PA      | $201019.32    | 0.11%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $809.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                        | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A             | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200229 | PA      | $193532.56    | 0.10%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4.94        | -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      | $12464.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                     | UNITED KINGDOM I/L GILT BONDS REGS 11/42 0.625            | CUSIP: B3MYD3II6<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     267835 | PA      | $287643.49    | 0.15%             | 2042-11-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $1315.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-13542.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1023.82     | -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      | $-11443.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8644 G2 02/53 FIXED 3.5                    | CUSIP: 36179XS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     640307 | PA      | $594705.47    | 0.32%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-41.03       | -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      | $5310.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                      | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A      | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116110 | PA      | $97124.48     | 0.05%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EGP SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $-4749.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BTP FUTURE   JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         66 | NC      | $-317084.60   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                  | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 2A1           | CUSIP: 61748HLA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93575 | PA      | $20954.19     | 0.01%             | 2035-09-25      | Floating      | 5.02%                 | 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        |    -178000 | NC      | $-72.09       | -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      |
| COMMONWEALTH BANK OF AUSTRALIA                                          | COMMONWEALTH BANK AUST COVERED 144A 01/30 4.971           | CUSIP: 202712BW4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    1200000 | PA      | $1235534.98   | 0.66%             | 2030-01-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/9.72500 12/17/25-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-1148.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | YI4360503 NIGERIA OMO BILL                                | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   18500000 | PA      | $11627.54     | 0.01%             | 2027-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 257237 FN 06/28 FIXED 4.5                       | CUSIP: 31371NV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $193.77       | 0.00%             | 2028-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $817.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                   | CROWN CASTLE                                              | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249386.60    | 0.13%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3434.22      | 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      | $-86087.22    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-OAT FUTURE   JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -93 | NC      | $403907.04    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $9.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20270120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-32426.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10968.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07585 03/13/26-20Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1225.17      | 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      | $28.80        | 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      | $-1817.68     | -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      | $-795.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.50000 09/16/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-56418.16    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260615                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-167.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 06/49 3                  | CUSIP: ACI2MHL63<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     200000 | PA      | $186977.27    | 0.10%             | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS INR MIBOR/5.75000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-100857.21   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BOBL FUTURE  JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -42 | NC      | $88306.59     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  296000000 | PA      | $205744.50    | 0.11%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-35955.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1120.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1                | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     610410 | PA      | $684340.98    | 0.37%             | 2031-07-25      | Fixed         | 0.10%                 | 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 THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $274.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-66296.35    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4584.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.50000 09/16/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $37029.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-204.42      | -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      | $625789.69    | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260706                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-342.71      | -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      | $760.01       | 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      | $2928.65      | 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      | $548.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                    | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     713623 | PA      | $660176.71    | 0.35%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $74.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OLYMPUS CORPORATION                                                     | OLYMPUS CORP SR UNSECURED 144A 12/26 2.143                | CUSIP: 68163WAA7<br>LEI: 5299000Y52IFDI1I2A21 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $197571.58    | 0.11%             | 2026-12-08      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                    | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75     | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     900000 | PA      | $474856.84    | 0.25%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3376.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/8.66500 07/03/25-5Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $196809.24    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-717.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR CHF SRFXON3/0.25000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $-8138.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNY BOUGHT USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-39.58       | -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      | $605.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY SR UNSECURED 10/29 VAR                     | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     800000 | PA      | $790882.00    | 0.42%             | 2029-10-18      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-2592.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $19132.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                    | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2             | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     400000 | PA      | $223938.51    | 0.12%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 1.00000 05/13/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-17102.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10          | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31916 | PA      | $27494.98     | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-3577.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $37418.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $14520.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AH8897 FN 03/41 FIXED 4.5                       | CUSIP: 3138AA3F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13717 | PA      | $13582.76     | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.0593* 03/13/26-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1292.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-158.19      | -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      | $-9898.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A          | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     654145 | PA      | $545057.66    | 0.29%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ALBA PLC/LONDON 2005-1                                                  | ALBA PLC ALBA 2005 1 A3 REGS                              | CUSIP: B0Q41VII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      53245 | PA      | $70221.60     | 0.04%             | 2042-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $522.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.75000 09/17/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-9115.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                              | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/35 3   | CUSIP: ACI2XHL53<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     100000 | PA      | $113150.80    | 0.06%             | 2035-10-31      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BF0334 FN 01/59 FIXED 3.5                       | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524108 | PA      | $475709.17    | 0.25%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $3451.81      | 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      | $-209.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.96000 06/27/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13370.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                    | ROYAL BANK OF CANADA COVERED 144A 12/26 4.851             | CUSIP: 780082AQ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     800000 | PA      | $804724.66    | 0.43%             | 2026-12-14      | Fixed         | 4.85%                 | 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      | $2498.24      | 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        |   -9890000 | PA      | $-7964154.22  | -4.26%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                | SAUDI ARABIAN OIL CO SR UNSECURED REGS 04/29 3.5          | CUSIP: ACI1B8GK2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     450000 | PA      | $432343.26    | 0.23%             | 2029-04-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-4105.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     597000 | NC      | $858.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5217 FN 12/53 FIXED 6.5                       | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     774244 | PA      | $800986.28    | 0.43%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3         | CUSIP: 93363NAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174524 | PA      | $155412.92    | 0.08%             | 2036-10-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $823.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.35000 12/15/27-1Y (GRN) LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $36081.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-11766.97    | -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      | $218.03       | 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      | $-1086.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1299.95     | -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      | $-1556.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-516.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS PLN 2.58500 10/14/21-8Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $-66150.55    | -0.04%            |  |  |  | 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                                                                     | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-7859.90     | -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      | $-18240.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1496.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                    | JPMORGAN CHASE + CO SR UNSECURED 01/35 VAR                | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     800000 | PA      | $812535.99    | 0.44%             | 2035-01-23      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                              | CHINA GOVT INTL BOND SR UNSECURED 144A 11/30 3.75         | CUSIP: 60367QAF0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     200000 | PA      | $200734.98    | 0.11%             | 2030-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $56210.06     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2903.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-550.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CNY R 1.50000 03/17/27-5Y CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-6067.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AC3143 FN 09/39 FIXED 6                         | CUSIP: 31417MP56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        568 | PA      | $585.28       | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | 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        |    1000000 | PA      | $999964.70    | 0.54%             | 2048-04-11      | Floating      | 5.04%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $33969.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                       | GPMT LTD. GPMT 2021 FL4 A 144A                            | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     455198 | PA      | $454618.84    | 0.24%             | 2036-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                       | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/30 3.25     | CUSIP: ACI1LTCD5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $187778.60    | 0.10%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                     | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A        | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $499375.04    | 0.27%             | 2035-01-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR            | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     800000 | PA      | $813535.56    | 0.44%             | 2036-01-28      | Floating      | 5.54%                 | 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      | $-842.78      | -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      | $12610.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260508                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $102.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                  | CHINA DEVELOPMENT BANK UNSECURED 05/33 2.82               | CUSIP: ACI2G7SL2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |    6000000 | PA      | $927584.61    | 0.50%             | 2033-05-22      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-10936.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KZT SOLD USD 20260805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $652.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-757.02      | -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      | $1366.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -343000 | NC      | $-138.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY 03/35 1                                    | CUSIP: ACI2NCY69<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     900000 | PA      | $1030150.77   | 0.55%             | 2035-03-21      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3489.15      | 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      | $930.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 DSC2 A1 144A     | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     566400 | PA      | $568281.28    | 0.30%             | 2070-07-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2B              | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433583 | PA      | $199317.72    | 0.11%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD RON BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-791.59      | -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      | $26513.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AUST 10Y BOND FUT JUN26 XSFE 20260615                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -88 | NC      | $34070.87     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $94449.80     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1417.66      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/9.65000 12/17/25-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-2448.13     | -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      | $5788.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 931425 FN 06/39 FIXED 4.5                       | CUSIP: 31412PYW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18430 | PA      | $18249.72     | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                              | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/29 1   | CUSIP: ACI17SZK2<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     107000 | PA      | $118914.45    | 0.06%             | 2029-04-30      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVELOPERS LIMITED                                   | IRB INFRASTRUCTURE DEVE SR SECURED 144A 03/32 7.11        | CUSIP: ACI2N3K07<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |     300000 | PA      | $301358.77    | 0.16%             | 2032-03-11      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A            | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7950 | PA      | $7883.16      | 0.00%             | 2036-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 12/99 5.75             | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $163170.00    | 0.09%             | 2099-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC                                                         | ANTOFAGASTA PLC SR UNSECURED 144A 10/30 2.375             | CUSIP: 03718NAA4<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $358938.00    | 0.19%             | 2030-10-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $38.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | YI4360529 NIGERIA OMO BILL                                | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |   18700000 | PA      | $11717.65     | 0.01%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                             | REPUBLIC OF PANAMA EUR TERM LOAN                          | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |     500000 | PA      | $578543.20    | 0.31%             | 2027-03-05      | Floating      | 3.89%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | 31750RXO0 PIMCO FXVAN CALL USD SGD 1.31500000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     446000 | NC      | $1736.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1576.40      | 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      | $461.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $11742.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                 | BANK OF NOVA SCOTIA COVERED REGS 09/29 0.01               | CUSIP: ACI20BTZ8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     300000 | PA      | $312920.74    | 0.17%             | 2029-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AD7136 FN 07/40 FIXED 5                         | CUSIP: 31418U4W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8940 | PA      | $9039.89      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-11658.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 01/35 11.75                    | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 2025300000 | PA      | $502144.73    | 0.27%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.2276* 03/31/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1079.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                              | CHINA GOVERNMENT BOND BONDS 01/55 1.92                    | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    4900000 | PA      | $646081.90    | 0.35%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/31 0.125                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3397492 | PA      | $3175398.49   | 1.70%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                           | THAILAND GOVERNMENT BOND SR UNSECURED 05/36 1.84          | CUSIP: ACI386HX7<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    9011000 | PA      | $264182.41    | 0.14%             | 2036-05-17      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-71.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 2A1          | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134032 | PA      | $117868.46    | 0.06%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/29 2.5                                 | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3256691 | PA      | $3379216.05   | 1.81%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6194.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.7547* 03/13/26-10Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $864.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                              | CHINA GOVERNMENT BOND BONDS 09/54 2.19                    | CUSIP: BRT57JII1<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    7400000 | PA      | $1033966.88   | 0.55%             | 2054-09-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260526                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $62.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A5         | CUSIP: 12668BFE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28794 | PA      | $15688.54     | 0.01%             | 2036-02-25      | 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      | $-35472.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QI0325 FR 02/54 FIXED 6.5               | CUSIP: 3133W6LE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36448 | PA      | $37968.73     | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20260601                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $632.03       | 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      | $76075.53     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EUROCLEAR  92707 REPO REPO EUR                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |     426155 | PA      | $492571.35    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 963597 FN 06/38 FIXED 5.5                       | CUSIP: 31414D7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3378 | PA      | $3459.32      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                         | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR           | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $722464.06    | 0.39%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $26.45        | 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      | $-45998.72    | -0.02%            |  |  |  | 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