# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003043
**Filing Date:** 2026-3
**Character Count:** 651059
**Document Hash:** 2bab0eda1b6b9c4c7da54073c72546e0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003043.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003043

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0001047304

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705852

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9497204721

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

## Series and Classes Contracts Data

### PIMCO Total Return Portfolio (Series ID: S000009665)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026489 | Administrative | VPVTRDV         |
| C000026490 | Institutional  | VPVTRIV         |
| C000030985 | Advisor        | VPVTRVV         |

## 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 Variable Insurance Trust

- **b. Investment Company Act file number:** 811-08399

- **c. CIK number of Registrant:** 0001047304

- **d. LEI of Registrant:** 549300KNGHUU7TTJOR56

- **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 Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000009665

- **c. LEI of Series:** WXIJUDZ58N7QM7IEFC20

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8947909533.28

**Total Liabilities:** $4384967383.83

**Net Assets:** $4562942149.45

**Cash Not Reported:** $8473770.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 162019.390000 | **1-Year:** 296660.866500 | **5-Year:** 1066743.934700 | **10-Year:** 287382.899100 | **30-Year:** -18249.813100

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

- **3-Month:** 10982.116100 | **1-Year:** 23748.025500 | **5-Year:** 121078.477600 | **10-Year:** 24951.192200 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026489 | 1.11%                | 0.63%                | -0.17%               |
| Class ID C000030985 | 1.10%                | 0.62%                | -0.18%               |
| Class ID C000026490 | 1.12%                | 0.64%                | -0.16%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-716182.75              | $21307126.73                               |
| Month 2  | $572884.10               | $10883207.53                               |
| Month 3  | $2222392.80              | $-21048839.90                              |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1            | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     577873 | PA      | $563598.53    | 0.01%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0818 FN 08/31 FIXED 4                          | CUSIP: 31417Y4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9873 | PA      | $9846.79      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/46 1                                    | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     549672 | PA      | $414906.49    | 0.01%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 5.85           | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3047256.81   | 0.07%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $17009.49     | 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      | $29199.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S196 PIMCO FXVAN PUT USD KRW 1372.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -5097000 | NC      | $-7579.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                               | CONAGRA BRANDS INC SR UNSECURED 08/30 5                    | CUSIP: 205887CK6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1316189.65   | 0.03%             | 2030-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $105952.41    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $16061.08     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B         | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4857934 | PA      | $4801350.55   | 0.11%             | 2046-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2524 FR 10/52 FIXED 4                  | CUSIP: 3132DPYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5790778 | PA      | $5507469.35   | 0.12%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG RESOURCES INC SR UNSECURED 07/28 4.4                   | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7889249.24   | 0.17%             | 2028-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1            | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1574 | PA      | $1498.19      | 0.00%             | 2032-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S113 PIMCO FXVAN PUT USD KRW 1410.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   30357000 | NC      | $169270.63    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 02/41 0.00000                                       | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $1299942.14   | 0.03%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45                 | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   23900000 | PA      | $18292527.86  | 0.40%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 02/30 3.05                   | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2048697.40   | 0.04%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9011 FN 09/32 FIXED VAR                        | CUSIP: 3140XDAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4500 | PA      | $4457.76      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                   | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                  | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $4825547.40   | 0.11%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256253 FN 05/26 FIXED 5                          | CUSIP: 31371MTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        246 | PA      | $245.25       | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-14929.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0563 FN 11/30 FIXED 4                          | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1421 | PA      | $1419.13      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3          | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1787701 | PA      | $1364713.25   | 0.03%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FB             | CUSIP: 38376R4Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107513 | PA      | $108836.81    | 0.00%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0443 FN 05/30 FIXED 5                          | CUSIP: 31417YP50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4572 | PA      | $4636.29      | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-8453.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535341 FN 09/39 FLOATING VAR                     | CUSIP: 31384VWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5342 | PA      | $5429.27      | 0.00%             | 2039-09-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-1946244.62  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBC0A2 PIMCO SWAPTION 3.919 PUT USD 2026011             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-3038.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4766 FN 01/46 FIXED 4                          | CUSIP: 3140E9JL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19526 | PA      | $18841.87     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-31645.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-16.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MORTGAGE TRUST                                                       | CD COMMERCIAL MORTGAGE TRUST CD 2017 CD5 A4                | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5900000 | PA      | $5825000.38   | 0.13%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $11958.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/50 1.375                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21600000 | PA      | $10625765.54  | 0.23%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 751259 FN 02/34 FIXED 5.5                        | CUSIP: 31403KTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3610 | PA      | $3691.44      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC COMPANY GUAR 02/33 2.6                        | CUSIP: 11135FCR0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16900000 | PA      | $14911575.07  | 0.33%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-332336.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR                   | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8000000 | PA      | $8118030.56   | 0.18%             | 2029-03-03      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 01/30 5.565                             | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1100000 | PA      | $1146355.24   | 0.03%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4             | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4580196 | PA      | $4541056.71   | 0.10%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965309 FN 10/38 FIXED 6                          | CUSIP: 31414F3S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1101 | PA      | $1156.85      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6868.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2190 FN 06/52 FIXED VAR                        | CUSIP: 3140XHNG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1181329 | PA      | $1135860.58   | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA BONDS REGS 05/30 3.624                             | CUSIP: ACI1MJRS7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   14000000 | PA      | $16205843.33  | 0.36%             | 2030-05-26      | Fixed         | 3.62%                 | 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        |    3700000 | PA      | $2857121.50   | 0.06%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A        | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $4874287.00   | 0.11%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $629.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR                | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5250000 | PA      | $5272329.20   | 0.12%             | 2028-04-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A       | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12707492 | PA      | $10644348.09  | 0.23%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 732218 FN 06/43 FLOATING VAR                     | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113387 | PA      | $114588.44    | 0.00%             | 2043-06-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SCENTRE MANAGEMENT LTD (SCENTRE GROUP TRUST 1/SCENTRE GROUP TRUST 2)             | SCENTRE GROUP TRUST 1/2 COMPANY GUAR 144A 01/26 3.625      | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   15900000 | PA      | $15893273.98  | 0.35%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1973.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256476 FN 11/36 FIXED 6                          | CUSIP: 31371M2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1482 | PA      | $1567.92      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $11155.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3098 FN 08/30 FIXED VAR                        | CUSIP: 3140X6NQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $101.66       | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 11/28 VAR                   | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7200000 | PA      | $7613729.28   | 0.17%             | 2028-11-03      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8873 FN 07/34 FIXED VAR                        | CUSIP: 3140XC2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10696 | PA      | $10613.81     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $10586.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-220382.05   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260225                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $15355.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1399.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/44 3                                    | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  155300000 | PA      | $120151242.96 | 2.63%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $3177055.70   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4689.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798412 FN 10/34 FIXED 5.5                        | CUSIP: 31405TAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1037 | PA      | $1069.71      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $28210.12     | 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        |    9950000 | PA      | $3192075.81   | 0.07%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6395 FN 02/53 FIXED 5                          | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4772749 | PA      | $4781586.53   | 0.10%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97500 03/21/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-63249.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBA5A1 PIMCO SWAPTION 3.925 PUT USD 2026010             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | LU        |   -2900000 | NC      | $-575.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -99000000 | PA      | $-93917235.06 | -2.06%            | 2056-01-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $49984.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848220 FN 11/35 FIXED 5.5                        | CUSIP: 31408DK94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17662 | PA      | $18475.60     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/36 6.75           | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1639616.54   | 0.04%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7986 G2 04/52 FIXED 2                       | CUSIP: 36179W2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     553332 | PA      | $458792.46    | 0.01%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RTH0 OTC ECAL FN 4.0 JAN26 97.375 CALL                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8700000 | NC      | $-0.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A            | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        184 | PA      | $2024974.34   | 0.04%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR          | CUSIP: ACI1M15X9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5871418.43   | 0.13%             | 2030-05-04      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $710510.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/31 FIXED 2.246    | CUSIP: 2350366T2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2500000 | PA      | $2254283.75   | 0.05%             | 2031-11-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4918 FN 02/53 FIXED 5                          | CUSIP: 31418EPC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5617905 | PA      | $5628466.32   | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/29 5.3        | CUSIP: 44891ACU9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5645693.46   | 0.12%             | 2029-01-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                 | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323593 | PA      | $172791.63    | 0.00%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9501 FN 07/40 FIXED 5                          | CUSIP: 31418XRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1390 | PA      | $1408.09      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF              | CUSIP: 38380V2S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2644994 | PA      | $2568067.89   | 0.06%             | 2043-10-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $5082.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED 10/53 1.5                     | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  FEB26P 127.5 EXP 01/23/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -28 | NC      | $-19743.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| KKR CLO 41 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 2022 41A A1 144A                 | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7006650.00   | 0.15%             | 2035-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $8706.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878386 FN 02/36 FIXED 6                          | CUSIP: 31409T2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5404 | PA      | $5597.91      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 09/29 VAR                | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9917456.51   | 0.22%             | 2029-09-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9271 05/08/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-136062.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/18/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-164081.30   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03698 FG 12/37 FIXED 6                  | CUSIP: 3128M5NP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17613 | PA      | $18653.95     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 01/30 VAR                      | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4622300.64   | 0.10%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9109 FN 01/34 FIXED VAR                        | CUSIP: 3138ERDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178436 | PA      | $179146.22    | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 01/28 5.842               | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    4400000 | PA      | $4544517.38   | 0.10%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4118 FR 05/27 FIXED 3.5                | CUSIP: 3131X7SF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1853 | PA      | $1839.18      | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                     | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14384654 | PA      | $13234968.56  | 0.29%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT MAR26 XCBT 20260320                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -870 | NC      | $670932.34    | 0.01%             |  |  |  | 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        |   20695000 | PA      | $24488080.48  | 0.54%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0098 FN 06/29 FIXED 4                          | CUSIP: 31417YDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13524 | PA      | $13487.24     | 0.00%             | 2029-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A64142 FG 08/37 FIXED 6                  | CUSIP: 3128KUS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33824 | PA      | $35833.24     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5490 FR 06/48 FIXED 3.5                | CUSIP: 31329PC35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     981409 | PA      | $923197.83    | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 6A1                 | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     284093 | PA      | $284235.00    | 0.01%             | 2034-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                                 | FREDDIE MAC FHR 2248 FB                                    | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        414 | PA      | $414.34       | 0.00%             | 2030-09-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5548 FN 05/38 FLOATING VAR                     | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1591913 | PA      | $1660927.60   | 0.04%             | 2038-05-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9273 FN 02/29 FIXED 3.5                        | CUSIP: 3138XMJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6929 | PA      | $6862.23      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ORACLE CORPORATION SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-56363.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B                 | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     696219 | PA      | $822242.75    | 0.02%             | 2028-07-10      | Floating      | 4.35%                 | Yes           |                  3 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A         | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9739703 | PA      | $9741816.96   | 0.21%             | 2037-02-19      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3                                    | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2400000 | PA      | $1932093.74   | 0.04%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9381 FN 06/30 FIXED VAR                        | CUSIP: 3138ERM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7135312 | PA      | $7030012.95   | 0.15%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/41 3.125                                | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20500000 | PA      | $16959746.15  | 0.37%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13680000 | PA      | $13660488.22  | 0.30%             | 2038-05-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1                  | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36158 | PA      | $36074.57     | 0.00%             | 2035-02-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800006 FN 11/34 FIXED 5.5                        | CUSIP: 31405UYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4188 | PA      | $4296.72      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB9VA5 PIMCO SWAPTION 3.58 CALL USD 2026010             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-1.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A2          | CUSIP: 92925GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2914604 | PA      | $2584636.89   | 0.06%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14964.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $10696.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8518 FR 02/29 FIXED 3.5                | CUSIP: 3132A9PB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13596 | PA      | $13505.95     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) MAR26 XCBT 20260320                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -39 | NC      | $38336.80     | 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      | $-53460.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2022-B33                                               | BENCHMARK MORTGAGE TRUST BMARK 2022 B33 A5                 | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $13987474.50  | 0.31%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905141 FN 02/37 FIXED 5.5                        | CUSIP: 31411DS67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        502 | PA      | $523.81       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91245 FG 04/29 FIXED 4                  | CUSIP: 3128P7L27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        472 | PA      | $471.29       | 0.00%             | 2029-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 10/30 3                          | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $5730674.94   | 0.13%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A     | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7243314 | PA      | $6546279.70   | 0.14%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1218 GN 09/49 FIXED 4                          | CUSIP: 3617L7K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21423 | PA      | $20441.02     | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 2.172               | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $476377.57    | 0.01%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260224                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $21057.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BZ2346 FN 11/29 FIXED 4.3                        | CUSIP: 3140NWTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1519480.26   | 0.03%             | 2029-11-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255706 FN 05/35 FIXED 5.5                        | CUSIP: 31371MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1903 | PA      | $1989.44      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-50995.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                                | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A            | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2583663 | PA      | $2614672.63   | 0.06%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                    | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   17178947 | PA      | $168645723.31 | 3.70%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  MAR26 IFLL 20260327                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        189 | NC      | $165962.55    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | BLUE OWL FINANCE LLC COMPANY GUAR 06/31 3.125              | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $7354004.26   | 0.16%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR             | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.49        | 0.00%             | 2030-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                   | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/42 6.51        | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    4900000 | PA      | $5357583.12   | 0.12%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3410 FN 03/52 FIXED 3                          | CUSIP: 3140QNYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13147967 | PA      | $11658938.98  | 0.26%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS B 144A                              | CUSIP: 990ABJRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    2000000 | PA      | $1334700.07   | 0.03%             | 2057-12-30      | Floating      | 5.86%                 | No            |                  3 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A5          | CUSIP: 46629KAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     920492 | PA      | $705364.71    | 0.02%             | 2036-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-315918.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                                    | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A        | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11868814 | PA      | $9934428.48   | 0.22%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2C              | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5588065 | PA      | $2035870.70   | 0.04%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260326                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $874.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 12A5           | CUSIP: 07384MG97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150179 | PA      | $134424.87    | 0.00%             | 2034-04-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3379 FR 06/26 FIXED 3.5                | CUSIP: 3131X6XG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $867.26       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FB             | CUSIP: 38382YN90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7565363 | PA      | $7609875.81   | 0.17%             | 2073-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC SR UNSECURED 02/31 4.55                         | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3862295.81   | 0.08%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-QH1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 QH1 A1B 144A       | CUSIP: 12666XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1340362 | PA      | $1296079.74   | 0.03%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AMDOCS LIMITED                                                                   | AMDOCS LTD SR UNSECURED 06/30 2.538                        | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |    6900000 | PA      | $6342182.89   | 0.14%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/53 1.5                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1533518 | PA      | $1197036.84   | 0.03%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-389.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING COMPANY LLC                                         | COLUMBIA PIPELINES OPCO SR UNSECURED 144A 08/30 5.927      | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3284060.49   | 0.07%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $57882.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS A1 144A                             | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   79800000 | PA      | $53254532.64  | 1.17%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC ENBRIDGE INC                                  | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2900000 | PA      | $2943042.44   | 0.06%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-2R                                            | NOMURA RESECURITIZATION TRUST NMRR 2015 2R 3A2 144A        | CUSIP: 65540UAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12595947 | PA      | $11142661.59  | 0.24%             | 2036-11-26      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25        | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    3500000 | PA      | $1911417.29   | 0.04%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT BONDS 12/34 3.25                       | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6311000 | PA      | $4563898.04   | 0.10%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.3537 05/12/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-4211.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBC4A8 PIMCO SWAPTION 3.639 CALL USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7800000 | NC      | $-2445.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-1A                                                        | T MOBILE US TRUST TMUST 2024 1A A 144A                     | CUSIP: 87267RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9200000 | PA      | $9258381.36   | 0.20%             | 2029-09-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                   | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/38 6.129       | CUSIP: 39541EAA1<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    2500000 | PA      | $2658783.33   | 0.06%             | 2038-02-23      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1632.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4            | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        736 | PA      | $722.21       | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3078 FR 03/26 FIXED 3.5                | CUSIP: 3131X6M31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $688.71       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/49 2.375                                | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22158000 | PA      | $14238245.98  | 0.31%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 09/29 5.152       | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4815000 | PA      | $4858247.75   | 0.11%             | 2029-09-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 2.25             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $17484654.24  | 0.38%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A                 | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41321 | PA      | $40932.73     | 0.00%             | 2040-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0570 FN 08/37 FIXED VAR                        | CUSIP: 31418MT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2708.34      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                                   | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                    | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4808120 | PA      | $2727445.13   | 0.06%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766154 FN 02/34 FIXED 5.5                        | CUSIP: 31404EE36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38680 | PA      | $39239.47     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                            | ENTERGY LOUISIANA LLC 1ST MORTGAGE 06/32 2.35              | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $13683108.14  | 0.30%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889982 FN 11/38 FIXED VAR                        | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     180444 | PA      | $188381.22    | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S0H9 PIMCO FXVAN PUT USD KRW 1375.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -14843000 | NC      | $-27043.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6470 FR 02/29 FIXED 3.5                | CUSIP: 3131XAFK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2064 | PA      | $2045.41      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   99000000 | PA      | $101611214.10 | 2.23%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/30 4.876             | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     600000 | PA      | $611169.05    | 0.01%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                   | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78550 | PA      | $68549.57     | 0.00%             | 2035-11-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 834558 FN 09/35 FLOATING VAR                     | CUSIP: 31407ME76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9315 | PA      | $9617.92      | 0.00%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260309                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $13875.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-12788.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1            | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     486917 | PA      | $343977.70    | 0.01%             | 2036-01-26      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  115500000 | PA      | $109497918.92 | 2.40%             | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-5                                                          | MORTGAGEIT TRUST MHL 2005 5 A2                             | CUSIP: 61915RAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     404531 | PA      | $406977.30    | 0.01%             | 2035-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 05/36 6                 | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2700000 | PA      | $2742525.00   | 0.06%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 3A2              | CUSIP: 02660YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11432472 | PA      | $1561291.52   | 0.03%             | 2036-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918          | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1330969.63   | 0.03%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6722 FN 11/30 FIXED VAR                        | CUSIP: 3138EPPG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $283.49       | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | 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        |          1 | PA      | $0.12         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4130 FN 07/52 FIXED 4.5                        | CUSIP: 3140QPSU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3873066 | PA      | $3801744.55   | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875         | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4651638.44   | 0.10%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888222 FN 02/37 FIXED VAR                        | CUSIP: 31410FYT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166081 | PA      | $175735.93    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885569 FN 08/36 FIXED 6                          | CUSIP: 31410C2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2096 | PA      | $2190.63      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                         | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                   | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1123754 | PA      | $1124356.81   | 0.02%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893589 FN 09/36 FIXED 6                          | CUSIP: 31410PXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2743 | PA      | $2864.66      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                           | LEHMAN XS TRUST LXS 2006 8 2A1                             | CUSIP: 52522HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168604 | PA      | $203189.69    | 0.00%             | 2036-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A            | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2180172 | PA      | $2271292.58   | 0.05%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR             | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5870359.99   | 0.13%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828351 FN 07/35 FIXED 5.5                        | CUSIP: 31407EH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2778 | PA      | $2885.15      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/30 4.8                       | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6541861.38   | 0.14%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2504.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 08/28 4.8                         | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4020665.64   | 0.09%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $52835.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-33747.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                      | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1240000000 | PA      | $7086856.49   | 0.16%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/41 0.00000                                       | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     900000 | PA      | $420978.13    | 0.01%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260227                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $22009.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-6398.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/32 5.171             | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    1500000 | PA      | $1539785.46   | 0.03%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $16378.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260210                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $502339.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260129                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $18859.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 12/30 6.125          | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     600000 | PA      | $611354.66    | 0.01%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB8RA2 PIMCO SWAPTION 3.498 CALL USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7600000 | NC      | $-0.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735022 FN 12/34 FIXED VAR                        | CUSIP: 31402QSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3369 | PA      | $3515.63      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6130000 | PA      | $-6114196.12  | -0.13%            | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A          | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1343386.65   | 0.03%             | 2038-07-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2                 | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311917 | PA      | $136422.66    | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745886 FN 04/36 FIXED VAR                        | CUSIP: 31403DUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $228.72       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT BONDS 06/34 3                          | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   12700000 | PA      | $9044057.00   | 0.20%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1927 FN 01/39 FIXED 5                          | CUSIP: 31416KD96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        979 | PA      | $1005.69      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3438801 | PA      | $1722565.09   | 0.04%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995939 FN 06/39 FIXED VAR                        | CUSIP: 31416CLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147256 | PA      | $154002.08    | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | 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        |       3453 | PA      | $3612.45      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357797 FN 06/35 FIXED 5.5                        | CUSIP: 31376KNN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        752 | PA      | $787.00       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                  | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5         | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1302523.85   | 0.03%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $29424.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3097 FN 10/52 FIXED VAR                        | CUSIP: 3140XJNP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3469491 | PA      | $3343406.29   | 0.07%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01353 FG 03/32 FIXED 7.5                | CUSIP: 31292HQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8282 | PA      | $8710.69      | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-19710.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 01/27 VAR                            | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    6100000 | PA      | $6103430.82   | 0.13%             | 2027-01-12      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2             | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5530302 | PA      | $5386172.19   | 0.12%             | 2035-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4122 FN 03/52 FIXED 2                          | CUSIP: 3140MHSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16020788 | PA      | $12971146.70  | 0.28%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/54 4.25                                 | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13300000 | PA      | $12028966.75  | 0.26%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1              | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1516869 | PA      | $1337263.58   | 0.03%             | 2047-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255073 FN 02/34 FIXED 5.5                        | CUSIP: 31371LJS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45684 | PA      | $46935.99     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR REVOLVER                                 | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     763398 | PA      | $901581.96    | 0.02%             | 2028-07-10      | Floating      | 0.73%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1337.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3359.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FC             | CUSIP: 38376RXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2986550 | PA      | $3000276.11   | 0.07%             | 2066-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR              | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1549166.79   | 0.03%             | 2031-07-10      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A         | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9079386 | PA      | $7986605.97   | 0.18%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0101 FN 11/30 FIXED 4                          | CUSIP: 3138A1DF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3545 | PA      | $3538.72      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995112 FN 07/36 FIXED VAR                        | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2446 | PA      | $2552.57      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-56291.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $98891.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) MAR26 XCBT 20260331                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         91 | NC      | $15175.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $25180.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $17076.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 07/28 2.45                       | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     575000 | PA      | $538846.42    | 0.01%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A78008 FG 06/38 FIXED 6                  | CUSIP: 3128LB3R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6460 | PA      | $6834.10      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-12                                                        | JP MORGAN REREMIC JPMRR 2009 12 3A2 144A                   | CUSIP: 46634BBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7550500 | PA      | $5171584.63   | 0.11%             | 2036-05-26      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2              | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $10935282.49  | 0.24%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                                | CI FINANCIAL CORP SR UNSECURED 144A 05/29 7.5              | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    4700000 | PA      | $5001760.96   | 0.11%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260312                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8632.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 PT             | CUSIP: 38376RYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4098011 | PA      | $4209712.86   | 0.09%             | 2066-09-20      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2B                             | CUSIP: 362463AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2529705 | PA      | $1402874.04   | 0.03%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL2                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL2 A3 144A      | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1909739 | PA      | $1887702.72   | 0.04%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 07/29 5.375       | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3485421.40   | 0.08%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 990649 FN 09/38 FIXED 6                          | CUSIP: 31415VQA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     499879 | PA      | $528989.15    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | 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        |   17700000 | PA      | $14009273.53  | 0.31%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994126 FN 11/38 FIXED 5.5                        | CUSIP: 31416ALF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1863 | PA      | $1927.75      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260803                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $406.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                                        | FANNIE MAE FNR 2015 58 AI                                  | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2820373 | PA      | $161924.69    | 0.00%             | 2055-08-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FA                                    | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2414721 | PA      | $2375908.35   | 0.05%             | 2040-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1720 FN 11/30 FIXED 4.5                        | CUSIP: 31416W4E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44955 | PA      | $45118.94     | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORPORATION LLC                                       | EQUINIX EU 2 FINANCING C COMPANY GUAR 11/30 4.6            | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |     970000 | PA      | $973149.02    | 0.02%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2          | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     380219 | PA      | $372305.60    | 0.01%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1081.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABILENE DC 7 LLC/ABILENE DC 8 LLC                                                | PROJECT FLASH TERM LOAN 1                                  | CUSIP: BA000KZ61<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4000000 | PA      | $4000000.00   | 0.09%             | 2030-04-30      | Floating      | 2.28%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $37896.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8349 FR 08/53 FIXED 5.5                | CUSIP: 3132DWH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4117385 | PA      | $4189337.55   | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831149 FN 12/35 FIXED 6                          | CUSIP: 31407HL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6167 | PA      | $6490.17      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 04/32 VAR                                 | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   17000000 | PA      | $15540193.34  | 0.34%             | 2032-04-19      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/20/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-91536.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3083 FN 02/52 FIXED 2                          | CUSIP: 3140MGM99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7050201 | PA      | $5707040.97   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $50938.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 993888 FN 12/38 FIXED 6                          | CUSIP: 31416ACZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54902 | PA      | $56955.77     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2694 FN 04/41 FIXED 4.5                        | CUSIP: 31416X7G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12439 | PA      | $12516.62     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3211 FN 12/47 FIXED 4                          | CUSIP: 31418CR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     677970 | PA      | $657255.63    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 339016 FN 11/35 FLOATING VAR                     | CUSIP: 31375MSD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2433 | PA      | $2414.46      | 0.00%             | 2035-11-01      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CK0445 GN 02/52 FIXED 4                          | CUSIP: 3617XUP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268619 | PA      | $255612.12    | 0.01%             | 2052-02-15      | Fixed         | 4.00%                 | 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        |   49900000 | PA      | $52764691.14  | 1.16%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COMPANIES INC                                                   | MARSH + MCLENNAN COS INC SR UNSECURED 03/30 4.65           | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4288405.00   | 0.09%             | 2030-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1          | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400052 | PA      | $398102.99    | 0.01%             | 2035-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-83.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255411 FN 10/34 FIXED 5.5                        | CUSIP: 31371LVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56061 | PA      | $57629.28     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/28 VAR                | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9180663.07   | 0.20%             | 2028-01-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/51 1.875                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11825000 | PA      | $6540241.24   | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S1A3 PIMCO FXVAN PUT USD KRW 1412.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     487000 | NC      | $2717.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-572.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/18/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-206147.47   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1490 FN 09/30 FIXED 4.5                        | CUSIP: 31416WUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        885 | PA      | $889.85       | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE3326 FN 10/30 FIXED 4                          | CUSIP: 31419DVU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3701 | PA      | $3692.10      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 4A1A          | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1244627 | PA      | $590391.39    | 0.01%             | 2035-12-19      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/27 3.95                       | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $999898.15    | 0.02%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1          | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707070 | PA      | $582435.06    | 0.01%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-10079.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255814 FN 08/35 FIXED 5.5                        | CUSIP: 31371MDT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33185 | PA      | $34713.13     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M1             | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     786499 | PA      | $781904.01    | 0.02%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                           | CASTLELAKE LP FIRST LIEN TERM LOAN                         | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6564655 | PA      | $6272921.00   | 0.14%             | 2031-05-12      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $30398.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2                 | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18627 | PA      | $17922.43     | 0.00%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9468 FN 08/31 FIXED 4                          | CUSIP: 3138APQW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16569 | PA      | $16451.17     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745412 FN 12/35 FIXED VAR                        | CUSIP: 31403DDR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1392 | PA      | $1434.01      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-74053.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EMORY UNIVERSITY                                                                 | EMORY UNIVERSITY UNSECURED 09/30 2.143                     | CUSIP: 29157TAD8<br>LEI: 95MD72NUUVZ3P8PQ6919 | Long             | DBT              | CORP              | US        |   12700000 | PA      | $11632750.93  | 0.25%             | 2030-09-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| RTX CORPORATION                                                                  | RTX CORP SR UNSECURED 11/26 5.75                           | CUSIP: 75513ECT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6489070.85   | 0.14%             | 2026-11-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7240 FN 10/28 FIXED 3                          | CUSIP: 3138X7BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30651 | PA      | $30222.17     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-5108.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                     | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    8800000 | PA      | $8967739.97   | 0.20%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-13699.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891157 FN 05/36 FIXED 6                          | CUSIP: 31410MB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239335 | PA      | $251781.63    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25               | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2354172.73   | 0.05%             | 2030-03-15      | Fixed         | 6.25%                 | 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        |    5777421 | PA      | $5933342.79   | 0.13%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-70124.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260209                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $18603.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 04/32 4.2             | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15536843.20  | 0.34%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  203700000 | PA      | $206373199.91 | 4.52%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7396 FN 01/27 FIXED 3.5                        | CUSIP: 3138XXGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9932 | PA      | $9881.36      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5                  | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5251070 | PA      | $5260941.39   | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $8123.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-39906.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A       | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6099557 | PA      | $6136313.99   | 0.13%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 10YR BOND FUT MAR26 XMOD 20260320                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        313 | NC      | $-319524.72   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H19 FK             | CUSIP: 38376RGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1711656 | PA      | $1713371.58   | 0.04%             | 2065-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $24042.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-9329.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/51 0.125                                | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50650515 | PA      | $27393818.45  | 0.60%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A81618 FG 09/38 FIXED 6                  | CUSIP: 312927YP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17268 | PA      | $18191.36     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE UNIVERSITY                                                                  | DUKE UNIVERSITY UNSECURED 10/44 2.682                      | CUSIP: 26442TAF4<br>LEI: FY5ICUIRRDCHN4HHL592 | Long             | DBT              | CORP              | US        |   18900000 | PA      | $13796760.73  | 0.30%             | 2044-10-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4071 FN 06/53 FIXED 5                          | CUSIP: 3140NLQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     491173 | PA      | $494773.90    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A            | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5638353 | PA      | $5623680.01   | 0.12%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-26596.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-99.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254393 FN 06/32 FIXED 7                          | CUSIP: 31371KRN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26261 | PA      | $27355.33     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 2A12          | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1188076 | PA      | $862697.04    | 0.02%             | 2035-10-19      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                          | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422      | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3379292 | PA      | $3421759.05   | 0.07%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $16537.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.75000 12/20/28-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-373.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR35                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR35 2A1A         | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1045780 | PA      | $955137.14    | 0.02%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD5748 FR 02/52 FIXED 2                  | CUSIP: 3133B3L54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11866282 | PA      | $9605238.51   | 0.21%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $37642.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080428 G2 07/30 FLOATING VAR                  | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        394 | PA      | $395.33       | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED 10/53 1.5                     | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT MAR26 XCBT 20260320                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -361 | NC      | $919129.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B          | CUSIP: 59023AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2266013 | PA      | $866105.46    | 0.02%             | 2037-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINANCING I SR SECURED 144A 04/32 7.75          | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $1878030.00   | 0.04%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91335 FG 09/30 FIXED 4                  | CUSIP: 3128P7PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43678 | PA      | $43656.62     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1073 FN 03/52 FIXED VAR                        | CUSIP: 3140XGFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15916672 | PA      | $14102170.88  | 0.31%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04589 FG 08/37 FIXED 5.5                | CUSIP: 3128M6NE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2468 | PA      | $2584.27      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4933.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A2B          | CUSIP: 59020U6K6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3929200 | PA      | $739052.33    | 0.02%             | 2037-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $12113.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/49 2.25                                 | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64988500 | PA      | $40775206.85  | 0.89%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 3A2 144A       | CUSIP: 05968KAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19509917 | PA      | $2707381.42   | 0.06%             | 2036-07-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 144A 01/26 4.625                 | CUSIP: 45685NAA4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    3700000 | PA      | $3700230.14   | 0.08%             | 2026-01-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/32 FIXED 3.151    | CUSIP: 88880LAP8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7095000 | PA      | $6430768.94   | 0.14%             | 2032-06-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2668 FN 09/47 FIXED 3.5                        | CUSIP: 3140GQ6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21922 | PA      | $20544.41     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889692 FN 05/38 FIXED VAR                        | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        316 | PA      | $329.89       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | 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      | $54219.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870702 FN 08/36 FIXED 6                          | CUSIP: 31409GKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39818 | PA      | $42011.98     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838797 FN 08/35 FIXED 6                          | CUSIP: 31407R3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3006 | PA      | $3113.99      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.41000 11/05/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-111236.09   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953725 FN 11/37 FIXED 6                          | CUSIP: 31413SA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $299.01       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)MAR26 XCBT 20260320                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       4850 | NC      | $-2262106.35  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  MAR26 XEUR 20260306                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -117 | NC      | $241371.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829307 FN 09/35 FIXED 6                          | CUSIP: 31407FKU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16307 | PA      | $17205.10     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 16 3 A PTT PASS THRU CE 04/30 3.25            | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2407273 | PA      | $2312035.04   | 0.05%             | 2030-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3321 FN 03/28 FIXED 3.5                        | CUSIP: 31418CVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3830 | PA      | $3812.15      | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR               | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7180273.74   | 0.16%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 3.375                                | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10100000 | PA      | $8338812.50   | 0.18%             | 2044-05-15      | Fixed         | 3.38%                 | 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        |   15031015 | PA      | $4066390.12   | 0.09%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942283 FN 08/37 FIXED 6                          | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1992 | PA      | $2107.47      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $12304.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43600000 | PA      | $41178156.47  | 0.90%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/20/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-126404.32   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $22408.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                     | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 10/27 4.3         | CUSIP: 57629W3T5<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9571018.96   | 0.21%             | 2027-10-22      | Fixed         | 4.30%                 | 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        |   12869000 | PA      | $12997690.00  | 0.28%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888086 FN 02/36 FIXED VAR                        | CUSIP: 31410FUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        815 | PA      | $859.39       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3806.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03776 FG 01/38 FIXED 6                  | CUSIP: 3128M5Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1188 | PA      | $1258.60      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9057 FR 05/53 FIXED 5                  | CUSIP: 3133KRB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15170069 | PA      | $15179722.95  | 0.33%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                                           | INTL FLAVOR + FRAGRANCES SR UNSECURED 144A 10/27 1.832     | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    1276000 | PA      | $1225256.12   | 0.03%             | 2027-10-15      | Fixed         | 1.83%                 | 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        | 1140000000 | PA      | $6737528.09   | 0.15%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                            | PROJECT HUDSON II FIXED TERM LOAN                          | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2320915.12   | 0.05%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940415 FN 06/37 FIXED 6                          | CUSIP: 31413BGY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56233 | PA      | $58373.27     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                          | GA GLOBAL FUNDING TRUST SECURED 144A 09/28 1.95            | CUSIP: 36143L2D6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   15400000 | PA      | $14518096.98  | 0.32%             | 2028-09-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1936.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1           | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1547118 | PA      | $1278200.19   | 0.03%             | 2037-05-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 713974 FN 07/33 FIXED 5.5                        | CUSIP: 31401PFP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7348 | PA      | $7455.45      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2216.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2346850.08  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                                    | GSAA HOME EQUITY TRUST GSAA 2006 7 AF2                     | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5422265 | PA      | $1886286.53   | 0.04%             | 2046-03-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0484 FN 12/38 FIXED VAR                        | CUSIP: 31419ARE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3126 | PA      | $3216.21      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 916385 FN 05/37 FIXED 6                          | CUSIP: 31411WCW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        667 | PA      | $684.69       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080045 G2 02/27 FLOATING VAR                  | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $47.53        | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB8601 FN 03/28 FIXED 3                          | CUSIP: 31417FRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5344 | PA      | $5282.83      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-24261.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                      | CHENIERE ENERGY PARTNERS COMPANY GUAR 01/32 3.25           | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $3778223.51   | 0.08%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SECURITIZATION LLC                                           | VIRGINIA POWER FUEL SEC SR SECURED 05/33 4.877             | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9412974.85   | 0.21%             | 2033-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910088 FN 03/37 FIXED 6                          | CUSIP: 31411KCZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $579.21       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                     | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 12/27 5.05        | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8071831.16   | 0.18%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                  | FOX CORP SR UNSECURED 01/29 4.709                          | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5673027.53   | 0.12%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                             | FIRSTENERGY PENN ELECTRI SR UNSECURED 144A 03/28 3.25      | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1667245.88   | 0.04%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $10739.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AO3585 GN 08/45 FIXED 3                          | CUSIP: 3617A36W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     230115 | PA      | $208062.11    | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5010 FR 07/39 FIXED 2.5                | CUSIP: 3133KYR76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201187 | PA      | $184056.20    | 0.00%             | 2039-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A              | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1179000 | PA      | $1584813.99   | 0.03%             | 2049-12-21      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4820 FN 10/52 FIXED 4.5                        | CUSIP: 3140QQLA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3966696 | PA      | $3892421.70   | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544860 FN 09/34 FLOATING VAR                     | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8461 | PA      | $8411.40      | 0.00%             | 2034-09-01      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033             | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7157363.60   | 0.16%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8010 FR 03/52 FIXED 2                  | CUSIP: 3133B53T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8149396 | PA      | $6596581.57   | 0.14%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $94016.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                                  | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95              | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11184446.20  | 0.25%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-59696.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $3209.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-935684.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $62084.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1405 FN 04/52 FIXED VAR                        | CUSIP: 3140XGR35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16347233 | PA      | $14495924.43  | 0.32%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                 | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19675000 | PA      | $19633107.99  | 0.43%             | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NATWEST MARKETS PLC SR UNSECURED 144A 03/30 5.022          | CUSIP: 63906YAP3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    6900000 | PA      | $7083390.20   | 0.16%             | 2030-03-21      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $67461.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-56514.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                                 | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1688546000 | PA      | $1059425.63   | 0.02%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 02/34 5.45                         | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9438090.86   | 0.21%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6228 FR 04/26 FIXED 3.5                | CUSIP: 3132A64M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $112.74       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1             | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10260 | PA      | $9955.60      | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $55353.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3237.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 702916 FN 05/33 FIXED 5.5                        | CUSIP: 31401A3Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        698 | PA      | $708.34       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.4 07/10/25-01/02/29 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $14436.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A2             | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1123503 | PA      | $871783.58    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256436 FN 10/36 FIXED 6                          | CUSIP: 31371MY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32208 | PA      | $34081.82     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9323 FN 08/41 FIXED 5                          | CUSIP: 3138APLD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27024 | PA      | $27653.02     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.2914 05/08/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-84180.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B         | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     832477 | PA      | $868620.26    | 0.02%             | 2046-09-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $42159.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080578 G2 02/32 FLOATING VAR                  | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22767 | PA      | $23103.88     | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 943891 FN 07/37 FIXED 6                          | CUSIP: 31413FC42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18351 | PA      | $19070.62     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/29 6.5        | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2543326.78   | 0.06%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 144A 11/36 7.1       | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3000000 | PA      | $3225228.75   | 0.07%             | 2036-11-19      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2666 FN 01/26 FIXED 4                          | CUSIP: 3138A36C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.55         | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                                               | DTE ENERGY CO SR UNSECURED 03/29 5.1                       | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4715250.65   | 0.10%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.32 05/08/25-01/02/29 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-7100.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MTG 2142                                                             | FREDDIE MAC FHR 2142 Z                                     | CUSIP: 3133TKDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3253 | PA      | $3287.60      | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                     | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7201745 | PA      | $7212230.85   | 0.16%             | 2039-02-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A          | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2491375 | PA      | $2499674.15   | 0.05%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/35 5.502             | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $414352.50    | 0.01%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995938 FN 01/39 FIXED VAR                        | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11261 | PA      | $11916.61     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                     | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     638153 | PA      | $634086.20    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 776975 FN 04/34 FIXED 5.5                        | CUSIP: 31404SFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65484 | PA      | $66434.61     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                       | PRJCT ALFA INVSTINDUSTRAL VIII 2025 EUR TERM LOAN 2        | CUSIP: BA000GNP1<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | GB        |     945000 | PA      | $1110563.99   | 0.02%             | 2026-02-27      | Floating      | 4.19%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CL6189 GN 03/52 FIXED 4                          | CUSIP: 3617YD2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     771500 | PA      | $734838.62    | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4902.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A2C                      | CUSIP: 00441XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4543713 | PA      | $1347703.39   | 0.03%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/40 1.375                                | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75700000 | PA      | $49166558.78  | 1.08%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1629 GN 07/49 FIXED 4                          | CUSIP: 3617KGY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22354 | PA      | $21331.34     | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR8122 FN 03/28 FIXED 3                          | CUSIP: 3138W6AY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1397 | PA      | $1381.84      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                     | CAIXABANK SA SR UNSECURED 144A 03/30 VAR                   | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    7000000 | PA      | $7273316.12   | 0.16%             | 2030-03-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                   | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2567846.35   | 0.06%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 06/29 5.45               | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9576440.35   | 0.21%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798819 FN 12/34 FIXED 5.5                        | CUSIP: 31405TPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6919 | PA      | $7018.17      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB8QA3 PIMCO SWAPTION 3.798 PUT USD 2026010             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7600000 | NC      | $-11343.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $69400.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783793 FN 07/34 FIXED 6                          | CUSIP: 31405AXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        424 | PA      | $437.25       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  204745000 | PA      | $204001198.27 | 4.47%             | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735224 FN 02/35 FIXED VAR                        | CUSIP: 31402QYV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39238 | PA      | $40417.83     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 373183 FN 10/32 FLOATING VAR                     | CUSIP: 31377CRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21501 | PA      | $21262.29     | 0.00%             | 2032-10-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4704169 | PA      | $4552345.06   | 0.10%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                     | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    1038090 | PA      | $974070.99    | 0.02%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                               | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                  | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3171010 | PA      | $3167362.44   | 0.07%             | 2036-10-16      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE 01/26 ZCP                                     | CUSIP: 22823QAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   11400000 | PA      | $11373499.56  | 0.25%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/27 VAR                                     | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    8800000 | PA      | $8968691.42   | 0.20%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/47 2.75                                 | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3800000 | PA      | $2716109.36   | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                         | FANNIEMAE ACES FNA 2020 M33 X2                             | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14921638 | PA      | $756746.42    | 0.02%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-594.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81               | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   16600000 | PA      | $15660451.95  | 0.34%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RTQ0 OTC ECAL FN 4.0 JAN26 97.375 CALL                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9000000 | NC      | $-0.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3870.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-38152.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43600000 | PA      | $41193484.48  | 0.90%             | 2055-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 02/31 3.375          | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $11211021.84  | 0.25%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 02/28 VAR                 | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2023811.24   | 0.04%             | 2028-02-16      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC6652 FN 12/39 FIXED 4.5                        | CUSIP: 31417TMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88925 | PA      | $89702.00     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PANTHEON SENIOR DEBT SECONDARIES III                                             | PANTHEON SNR DBT SCNDRS IIIUSD TERM LOAN                   | CUSIP: BA000HYC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1500000 | PA      | $1500000.00   | 0.03%             | 2026-03-26      | Floating      | 6.03%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | 31750S188 PIMCO FXVAN PUT USD KRW 1412.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    5097000 | NC      | $28446.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                     | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  118900000 | PA      | $7024433.94   | 0.15%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $7311.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU9223 FN 09/28 FIXED 3                          | CUSIP: 3138X9G94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4522 | PA      | $4451.99      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 11/26 6.125         | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2638085.37   | 0.06%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   99000000 | PA      | $93917235.06  | 2.06%             | 2056-01-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/28 2.1        | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   14200000 | PA      | $13436101.06  | 0.29%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                                                   | EDP FINANCE BV SR UNSECURED 144A 01/28 1.71                | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |   13300000 | PA      | $12671555.72  | 0.28%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891386 FN 10/35 FIXED 5.5                        | CUSIP: 31410MJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7551 | PA      | $7868.83      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | 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        |    1704406 | PA      | $2004355.19   | 0.04%             | 2031-12-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                     | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9892008 | PA      | $8543255.39   | 0.19%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5072 FN 07/53 FIXED 5.5                        | CUSIP: 31418ET67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     407890 | PA      | $415112.33    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $822.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBCKA0 PIMCO SWAPTION 3.9275 PUT USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5800000 | NC      | $-4646.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735227 FN 02/35 FIXED VAR                        | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125268 | PA      | $130723.13    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -43600000 | PA      | $-41193484.48 | -0.90%            | 2055-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-41580.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $5086.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.0166 08/12/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $198020.23    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H060614<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -30000000 | PA      | $-30575390.70 | -0.67%            | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91273 FG 10/29 FIXED 4                  | CUSIP: 3128P7MW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38017 | PA      | $38058.04     | 0.00%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK0931 FN 01/42 FIXED 5                          | CUSIP: 3138E5A99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53667 | PA      | $54637.68     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 06/31 VAR                       | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3905000 | PA      | $3619600.15   | 0.08%             | 2031-06-03      | Floating      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS JV LLC                                             | CREDIT OPPORTUNITIES PARTNERS 2025A SR UNSECD NT TRANCHE B | CUSIP: 955SEVII3<br>LEI: 5493003CSKFS2RY0JR63 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1833525.65   | 0.04%             | 2030-03-20      | Fixed         | 6.74%                 | Yes           |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/48 3                                    | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9900000 | PA      | $7370085.89   | 0.16%             | 2048-02-15      | Fixed         | 3.00%                 | 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        |      72834 | PA      | $68530.83     | 0.00%             | 2035-05-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5                | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8729498 | PA      | $8872296.17   | 0.19%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 08/27 VAR            | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3741780.44   | 0.08%             | 2027-08-07      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65                | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     200000 | PA      | $170513.97    | 0.00%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -108000000 | PA      | $-95542031.52 | -2.09%            | 2056-01-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $710.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1013 FN 01/37 FIXED VAR                        | CUSIP: 3138EHDT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3611 | PA      | $3712.89      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257101 FN 02/28 FIXED 5                          | CUSIP: 31371NRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1148 | PA      | $1156.67      | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2479 FR 01/47 FIXED 4                  | CUSIP: 3131XVXG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1648867 | PA      | $1595092.79   | 0.03%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                             | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P A 144A       | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17400000 | PA      | $16624123.55  | 0.36%             | 2039-09-13      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $24463.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A10         | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356638 | PA      | $287582.09    | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941919 FN 07/37 FIXED 5.5                        | CUSIP: 31413C4C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1524 | PA      | $1566.39      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1515 FN 12/30 FIXED 4                          | CUSIP: 3138A2VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20176 | PA      | $20134.67     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3526.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 3.125                                | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30300000 | PA      | $23991445.46  | 0.53%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | VENTAS REALTY LP COMPANY GUAR 10/26 3.25                   | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4078816.69   | 0.09%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4              | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $4213316.56   | 0.09%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5420 FN 07/54 FIXED 5.5                        | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11492436 | PA      | $11663321.89  | 0.26%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                           | NXP BV/NXP FDG/NXP USA COMPANY GUAR 06/26 3.875            | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   12100000 | PA      | $12089407.18  | 0.26%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 792160 FN 07/37 FIXED 6                          | CUSIP: 31405LB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15161 | PA      | $15669.58     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823767 FN 05/35 FIXED 6                          | CUSIP: 31406YFG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4917 | PA      | $5104.51      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2C            | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1896890 | PA      | $947012.07    | 0.02%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832446 FN 08/35 FLOATING VAR                     | CUSIP: 31407JZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83082 | PA      | $85159.20     | 0.00%             | 2035-08-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                 | CUSIP: 21H050623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42750000 | PA      | $42605539.20  | 0.93%             | 2056-02-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS BANK REPO REPO                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | ZA        |  486940777 | PA      | $29404636.29  | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255771 FN 07/35 FIXED 6                          | CUSIP: 31371MCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1112 | PA      | $1174.43      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953781 FN 11/37 FIXED 6                          | CUSIP: 31413SCS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22978 | PA      | $24245.19     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/51 2                                    | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30125000 | PA      | $17266567.31  | 0.38%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                              | HIGHWOODS REALTY LP SR UNSECURED 03/28 4.125               | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3571540.99   | 0.08%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A              | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7050000 | PA      | $7056555.94   | 0.15%             | 2035-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                          | DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 01/27 5           | CUSIP: 233853AV2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3736712.10   | 0.08%             | 2027-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $1094775.43   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260304                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $34012.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745418 FN 04/36 FIXED VAR                        | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6327 | PA      | $6618.40      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR                | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1128350.99   | 0.02%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  187758963 | PA      | $165968656.63 | 3.64%             | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $72993.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5              | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4840816 | PA      | $4478891.55   | 0.10%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B              | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417080 | PA      | $296251.78    | 0.01%             | 2037-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 10/61 0.5                   | CUSIP: BMBL1DII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1700000 | PA      | $600560.48    | 0.01%             | 2061-10-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/52 0.125                                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5614368 | PA      | $2974029.77   | 0.07%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1693.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1910.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                                 | CUSIP: 21H020626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15300000 | PA      | $12672044.61  | 0.28%             | 2056-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ2 A4 144A       | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10522256 | PA      | $8813374.02   | 0.19%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6728 FN 07/53 FIXED 5                          | CUSIP: 3140QSPN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5528410 | PA      | $5563099.03   | 0.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                     | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246133 | PA      | $236668.73    | 0.01%             | 2034-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                  | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62297 | PA      | $64714.34     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-32782.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735894 FN 09/35 FIXED VAR                        | CUSIP: 31402RRP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        708 | PA      | $740.81       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75      | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    9700000 | PA      | $9837111.25   | 0.22%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0115 FN 12/35 FIXED VAR                        | CUSIP: 31419ADV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        948 | PA      | $976.13       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 825707 FN 07/35 FIXED 5.5                        | CUSIP: 31407BKU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        327 | PA      | $339.16       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-14402.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-28843.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE1                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE1 2A3           | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2358122 | PA      | $1077584.03   | 0.02%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 969064 FN 03/38 FIXED 5.5                        | CUSIP: 31414LB98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     413424 | PA      | $431356.78    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/34 4.5               | CUSIP: ACI30CSR3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3200000 | PA      | $3749207.62   | 0.08%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG          | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |   12300000 | PA      | $3628500.00   | 0.08%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260224                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $21484.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | ROYAL BANK OF CANADA SR UNSECURED 01/27 4.875              | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    7200000 | PA      | $7277163.62   | 0.16%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65517 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-198284.33   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 05/28 VAR              | CUSIP: 61690U8C7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5016312.70   | 0.11%             | 2028-05-26      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 02/37 4.75      | CUSIP: ACI2N6VF5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    1400000 | PA      | $879353.79    | 0.02%             | 2037-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                                          | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A            | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   13300000 | PA      | $13301343.17  | 0.29%             | 2035-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/44 3.625                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2490488.27   | 0.05%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1          | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11136844 | PA      | $8786850.50   | 0.19%             | 2037-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                               | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A        | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17300000 | PA      | $16971825.92  | 0.37%             | 2036-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1850.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 01/29 6.25          | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    5898000 | PA      | $6206939.19   | 0.14%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928027 FN 01/37 FIXED 6                          | CUSIP: 31412LA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23458 | PA      | $24823.20     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-22129.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1594 FN 01/44 FIXED 5                          | CUSIP: 3138WAXY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44241 | PA      | $45220.90     | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 750548 FN 02/34 FIXED 5.5                        | CUSIP: 31403JZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2082 | PA      | $2112.85      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2                 | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15926368.32  | 0.35%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/34 6.5            | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2049500.06   | 0.04%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                       | ARES CLO LTD ARES 2017 44A A1RR 144A                       | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8800000 | PA      | $8802788.63   | 0.19%             | 2034-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1229713.31   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 03/28 VAR                             | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4500000 | PA      | $4570762.50   | 0.10%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 4.625                                | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7100000 | PA      | $6973253.92   | 0.15%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5                | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12872 | PA      | $13075.27     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR            | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    7300000 | PA      | $7307895.24   | 0.16%             | 2029-09-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920422 FN 11/36 FIXED 6                          | CUSIP: 31412BSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8765 | PA      | $9163.14      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP SR UNSECURED 03/28 4                               | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6887920.79   | 0.15%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2D                  | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2263537 | PA      | $688807.73    | 0.02%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-358433.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                   | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 04/64 6         | CUSIP: 268317BB9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    3400000 | PA      | $3350659.74   | 0.07%             | 2064-04-22      | Fixed         | 6.00%                 | 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      | $2427572.19   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBCLA9 PIMCO SWAPTION 3.6475 CALL USD 20260             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5800000 | NC      | $-4008.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A1             | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63655 | PA      | $63045.84     | 0.00%             | 2035-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6241 FN 05/53 FIXED 4.5                        | CUSIP: 3140QR5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2149910 | PA      | $2115858.43   | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900232 FN 08/36 FIXED 6                          | CUSIP: 31410XED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3491 | PA      | $3582.80      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK SR UNSECURED 03/27 2.8               | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    8000000 | PA      | $7901231.52   | 0.17%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                                            | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                     | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    6693722 | PA      | $6685501.99   | 0.15%             | 2037-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                               | FANNIE MAE FNR 2007 73 A1                                  | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116118 | PA      | $114030.84    | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3            | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240950 | PA      | $238888.69    | 0.01%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $21725.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 01/28 VAR              | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9365096.09   | 0.21%             | 2028-01-14      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $31341.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A                 | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3713154 | PA      | $3751130.62   | 0.08%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/20/24-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13116822.44  | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-1                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 1 A3                    | CUSIP: 14318DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2071544 | PA      | $2076091.91   | 0.05%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 06/28 5.2                             | CUSIP: 404119CP2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1537153.01   | 0.03%             | 2028-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A           | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83661 | PA      | $79002.84     | 0.00%             | 2046-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $9941.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REPO BANK AMERICA REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   27300000 | PA      | $27300000.00  | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 05/29 5.281                                   | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3500000 | PA      | $3610493.67   | 0.08%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                          | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     132562 | PA      | $137045.98    | 0.00%             | 2029-05-30      | Floating      | 9.84%                 | No            |                  3 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/31 2.5           | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   17000000 | PA      | $15301884.96  | 0.34%             | 2031-07-12      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-458.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP/THE SR UNSECURED 144A 07/30 3.95                  | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6255700.93   | 0.14%             | 2030-07-15      | Fixed         | 3.95%                 | 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        |    1015093 | PA      | $989897.13    | 0.02%             | 2047-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080408 G2 05/30 FLOATING VAR                  | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $234.74       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-6971.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CL6201 GN 03/52 FIXED 4                          | CUSIP: 3617YD3J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     685149 | PA      | $650693.29    | 0.01%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $55592.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1            | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     431790 | PA      | $321206.42    | 0.01%             | 2035-07-19      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 10/27 VAR              | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   11600000 | PA      | $11389047.04  | 0.25%             | 2027-10-13      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV3789 FN 11/43 FIXED 5                          | CUSIP: 3138XFF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        808 | PA      | $825.19       | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBEXA2 PIMCO SWAPTION 3.622 CALL USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5900000 | NC      | $-8057.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MML DORCHESTER SCSP                                                              | PROJECT DORCHESTER EUR TERM LOAN                           | CUSIP: BA000T4M1<br>LEI: 213800PP3CKB6OTAPQ90 | Long             | LON              | CORP              | US        |    1900000 | PA      | $2232879.98   | 0.05%             | 2027-01-04      | Floating      | 4.35%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 966590 FN 01/38 FIXED 6                          | CUSIP: 31414HKB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2388 | PA      | $2519.60      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H28                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H28 BF             | CUSIP: 38383KLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18797245 | PA      | $19018122.27  | 0.42%             | 2073-12-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 720087 FN 07/33 FIXED 5.5                        | CUSIP: 31401V6Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        639 | PA      | $648.73       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1758 FN 09/26 FIXED 3.5                        | CUSIP: 3138AS5U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        451 | PA      | $448.61       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A      | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2099869 | PA      | $2038336.32   | 0.04%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 03/26 0.00000                                | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1398000 | PA      | $1386032.41   | 0.03%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2056 FN 08/26 FIXED VAR                        | CUSIP: 3138EJJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97648 | PA      | $97256.55     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                          | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/27 4.9           | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9171164.25   | 0.20%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/48 3                                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4100000 | PA      | $3036882.79   | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260311                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2285.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3              | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3068205.78   | 0.07%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                           | CVS HEALTH CORP SR UNSECURED 01/29 5                       | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6639370.47   | 0.15%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922989 FN 12/36 FIXED 6                          | CUSIP: 31412ENE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89192 | PA      | $92691.10     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                 | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  459180000 | PA      | $28937213.04  | 0.63%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5165 FN 10/53 FIXED 5.5                        | CUSIP: 31418EW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     799403 | PA      | $813187.89    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/41 2.25                                 | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19000000 | PA      | $13980956.96  | 0.31%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $58378.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-37579.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                            | AIRCASTLE / IRELAND DAC COMPANY GUAR 144A 09/30 5          | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    7200000 | PA      | $7279432.06   | 0.16%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829372 FN 06/35 FIXED 6                          | CUSIP: 31407FMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16326 | PA      | $16756.33     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                       | PROJ ALFA 3 TERM LOAN                                      | CUSIP: BA000RG42<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | US        |    1078554 | PA      | $1078554.03   | 0.02%             | 2026-10-21      | Floating      | 5.86%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255900 FN 10/35 FIXED 6                          | CUSIP: 31371MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5944 | PA      | $6289.52      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905896 FN 12/36 FIXED 5.5                        | CUSIP: 31411ENM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        994 | PA      | $1024.56      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | WELLTOWER OP LLC COMPANY GUAR 01/30 3.1                    | CUSIP: 95040QAJ3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6717460.54   | 0.15%             | 2030-01-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-20656.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6672 FN 07/53 FIXED 5                          | CUSIP: 3140QSMW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4342809 | PA      | $4364600.47   | 0.10%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-249203.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7882.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A67153 FG 10/37 FIXED 6                  | CUSIP: 3128KX5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17204 | PA      | $18253.27     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-25304.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 DATA A 144A      | CUSIP: 465972AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13200000 | PA      | $12305544.24  | 0.27%             | 2042-06-10      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-345.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815          | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3246000 | PA      | $3198085.34   | 0.07%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                              | FANNIE MAE FNR 2006 118 A1                                 | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45409 | PA      | $44407.51     | 0.00%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-60055.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE TRANSMISSION LLC                                         | MID ATLANTIC INTERSTATE SR UNSECURED 144A 05/28 4.1        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2102201.91   | 0.05%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4790                                                                 | FREDDIE MAC FHR 4790 F                                     | CUSIP: 3137F5BX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3658393 | PA      | $3585691.53   | 0.08%             | 2043-10-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-360.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) MAR26 XCBT 20260331                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       4668 | NC      | $-944526.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260218                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-208857.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M1          | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     626551 | PA      | $621454.51    | 0.01%             | 2035-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4439 FN 04/53 FIXED VAR                        | CUSIP: 3140XK4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5556634 | PA      | $5567652.60   | 0.12%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 04/31 5.45                            | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2401038.47   | 0.05%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9024 GN 03/50 FIXED 4                          | CUSIP: 3617MYAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79810 | PA      | $76018.56     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13 08/13/25-01/02/29 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $50245.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $7639.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008847 G2 04/26 FLOATING VAR                  | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        211 | PA      | $210.52       | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                                 | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2160400000 | PA      | $1367972.72   | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC (AKA: PROGRESS ENERGY CAROLINAS INC)                    | DUKE ENERGY PROGRESS LLC 1ST MORTGAGE 08/31 2              | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10664767.56  | 0.23%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                     | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384159 | PA      | $354998.69    | 0.01%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3277 FN 02/48 FIXED 4                          | CUSIP: 31418CUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4690722 | PA      | $4535796.40   | 0.10%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/41 3.75                                 | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27700000 | PA      | $24973281.25  | 0.55%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     719000 | PA      | $711339.70    | 0.02%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5                | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200839 | PA      | $210071.86    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-12958.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 07/27 5.05                       | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $9064043.02   | 0.20%             | 2027-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7585.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                      | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625      | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14000000 | PA      | $13834579.92  | 0.30%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A           | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105668 | PA      | $103117.18    | 0.00%             | 2035-05-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-INV1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2022 INV1 A2 144A       | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11691162 | PA      | $10223289.55  | 0.22%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                      | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14400000 | PA      | $12485073.60  | 0.27%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1             | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        191 | PA      | $189.78       | 0.00%             | 2030-11-25      | Floating      | 4.81%                 | 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        |    2500000 | PA      | $2506473.35   | 0.05%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL10 A 144A        | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3126321 | PA      | $3131178.71   | 0.07%             | 2037-09-17      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC LAST OUT TERM LOAN                          | CUSIP: 23803RAB7<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    1941101 | PA      | $1975070.56   | 0.04%             | 2031-01-03      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA 144A 02/27 VAR                    | CUSIP: 74977RDK7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8000000 | PA      | $7965209.60   | 0.17%             | 2027-02-24      | Floating      | 1.11%                 | 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        |     801000 | PA      | $776777.39    | 0.02%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/27 VAR                 | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16874090.35  | 0.37%             | 2027-04-22      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  FEB26C 113.5 EXP 01/23/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -369 | NC      | $-28551.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2023-1A                                     | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2023 1A A 144A        | CUSIP: 89231WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4710122.62   | 0.10%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $52430.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-297981.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 04/31 2.1                    | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $5475312.75   | 0.12%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | SUTTER HEALTH UNSECURED 08/40 3.161                        | CUSIP: 86944BAH6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   13100000 | PA      | $10367037.91  | 0.23%             | 2040-08-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15              | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   24370000 | PA      | $7824270.15   | 0.17%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1039.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/28 1.25                                 | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   89556225 | PA      | $89211133.52  | 1.96%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 04/09/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-34468.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-58988.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0178 FN 05/53 FIXED 5                          | CUSIP: 3140NGFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     292354 | PA      | $295284.27    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 12/34 FIXED 5.048    | CUSIP: 54627RAS9<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    6900000 | PA      | $7142197.59   | 0.16%             | 2034-12-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8996 FN 08/26 FIXED 3.5                        | CUSIP: 3138AN7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $232.67       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0156 FN 08/29 FIXED 5                          | CUSIP: 31417YE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7849 | PA      | $7941.94      | 0.00%             | 2029-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1212.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                     | ACE SECURITIES CORP. ACE 2006 FM2 A2D                      | CUSIP: 00442CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9343294 | PA      | $2127772.53   | 0.05%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.75000 06/15/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $429071.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-46788.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/50 2                                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35800000 | PA      | $20996140.80  | 0.46%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 2 A2 144A          | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3004399 | PA      | $3015391.94   | 0.07%             | 2026-12-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1821 FN 12/28 FIXED 3.5                        | CUSIP: 3138XDAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2729 | PA      | $2707.63      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/26 2.75                          | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $15482369.99  | 0.34%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A              | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11335621 | PA      | $10949349.71  | 0.24%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3223 FN 03/27 FIXED 3.5                        | CUSIP: 3138WQSM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $379.82       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782798 GN 11/39 FIXED 6                          | CUSIP: 36241LDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3423 | PA      | $3615.52      | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 06/29 5.125         | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    8600000 | PA      | $8830204.37   | 0.19%             | 2029-06-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3340 FN 05/35 FIXED VAR                        | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5104 | PA      | $5032.79      | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  108000000 | PA      | $95542031.52  | 2.09%             | 2056-01-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2571.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BN3897 GN 06/49 FIXED 4                          | CUSIP: 3617K7KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40285 | PA      | $38371.07     | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                              | EUROPEAN UNION SR UNSECURED REGS 10/29 2.875               | CUSIP: ACI2Q0PD7<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   17800000 | PA      | $21211341.21  | 0.46%             | 2029-10-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125     | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    3200000 | PA      | $3270941.63   | 0.07%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $49929.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A           | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     565987 | PA      | $444386.07    | 0.01%             | 2037-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1016584 | PA      | $726788.70    | 0.02%             | 2036-10-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD3128 FN 04/40 FIXED 5                          | CUSIP: 31418QPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12288 | PA      | $12643.54     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                         | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375          | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2553545.37   | 0.06%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                                             | SALES TAX SECURITIZATION CORP STSGEN 01/33 FIXED 3.007     | CUSIP: 79467BDG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2000000 | PA      | $1827434.80   | 0.04%             | 2033-01-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF2             | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12617230 | PA      | $3800977.01   | 0.08%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/29 VAR                        | CUSIP: 06738EDD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    5700000 | PA      | $5732217.20   | 0.13%             | 2029-11-11      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55             | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8700000 | PA      | $8666266.19   | 0.19%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3302 FR 06/26 FIXED 3.5                | CUSIP: 3131X6U32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2257 | PA      | $2247.76      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260626                                 | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1284700000 | PA      | $807348.78    | 0.02%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $18118.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $21681.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/26 5.464          | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    3200000 | PA      | $3201405.70   | 0.07%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-28373.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555417 FN 05/33 FIXED VAR                        | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $196.85       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888566 FN 01/37 FIXED VAR                        | CUSIP: 31410GFF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        514 | PA      | $538.19       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-41612.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260306                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8174.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC USD DELAYED DRAW TERM LOAN                  | CUSIP: BA000TDP4<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     429630 | PA      | $430704.50    | 0.01%             | 2031-12-08      | Floating      | 4.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | CDX IG45 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $73437.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  274900000 | PA      | $268148194.85 | 5.88%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA             | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     774772 | PA      | $777795.86    | 0.02%             | 2066-06-20      | Floating      | 4.91%                 | 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        |     149854 | PA      | $149798.86    | 0.00%             | 2035-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3604 FN 05/48 FIXED 4                          | CUSIP: 3140FBAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     450624 | PA      | $432103.53    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                             | GENERAL MOTORS FINL CO SR UNSECURED 05/27 VAR              | CUSIP: 37045XES1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9253036.16   | 0.20%             | 2027-05-08      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC SR UNSECURED 10/27 1.375              | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    4525000 | PA      | $4328879.26   | 0.09%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/28 VAR                        | CUSIP: 06738ECQ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3738767.27   | 0.08%             | 2028-03-12      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8100 FN 08/41 FIXED 4.5                        | CUSIP: 3138ANAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95409 | PA      | $95796.44     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBC2A0 PIMCO SWAPTION 3.639 CALL USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-1943.70     | -0.00%            |  |  |  | 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      | $-35385.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-76851.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88400 03/25/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4399.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | REPUBLIC OF CHILE SR UNSECURED 07/31 0.83                  | CUSIP: ACI1CXLV6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   14400000 | PA      | $14862180.77  | 0.33%             | 2031-07-02      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06840 FG 05/40 FIXED 6                  | CUSIP: 3128M84Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3797 | PA      | $3958.07      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                            | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                     | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7971533 | PA      | $7973804.18   | 0.17%             | 2039-06-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE LLC                                                       | ALLIANT ENERGY FINANCE COMPANY GUAR 144A 03/29 5.95        | CUSIP: 01882YAE6<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4604889.21   | 0.10%             | 2029-03-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5037 FR 03/40 FIXED 2.5                | CUSIP: 3133KYS26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     556176 | PA      | $507897.52    | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB9IA0 PIMCO SWAPTION 3.831 PUT USD 2026010             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5800000 | NC      | $-3191.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75          | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     242503 | PA      | $376720.71    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP (BNY MELLON)                                        | BANK OF NY MELLON CORP SR UNSECURED 03/30 VAR              | CUSIP: 06406RBV8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9473001.90   | 0.21%             | 2030-03-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 10/29 4.2                    | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8014886.56   | 0.18%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-64931.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3058 FN 07/47 FIXED 4                          | CUSIP: 31418CMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6872 | PA      | $6588.79      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                     | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1818972 | PA      | $1801627.36   | 0.04%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $817241.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889274 FN 12/35 FIXED VAR                        | CUSIP: 31410G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162417 | PA      | $169900.22    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     577000 | PA      | $571657.52    | 0.01%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                                            | GEORGIA POWER CO SR UNSECURED 02/27 5.004                  | CUSIP: 373334KV2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4053599.52   | 0.09%             | 2027-02-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                                     | NEW YORK LIFE GLOBAL FDG SR SECURED 144A 06/27 VAR         | CUSIP: 64953BBY3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4914207.80   | 0.11%             | 2027-06-11      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/26 4.125                 | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10300000 | PA      | $10305249.81  | 0.23%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS BANK REPO REPO                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | ZA        |  468841559 | PA      | $28311688.35  | 0.62%             |  |  |  | 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      | $38849.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4354 FN 09/52 FIXED VAR                        | CUSIP: 3140XKZU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7061244 | PA      | $6929734.14   | 0.15%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                  | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6976372 | PA      | $7293242.03   | 0.16%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15             | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2400000.00   | 0.05%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0958 FN 10/26 FIXED VAR                        | CUSIP: 3138EHB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40551 | PA      | $40423.64     | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/26 3.2       | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $9634756.25   | 0.21%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1            | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6812580 | PA      | $4147239.78   | 0.09%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257132 FN 03/28 FIXED 5                          | CUSIP: 31371NSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56307 | PA      | $56671.60     | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR                | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6195401.46   | 0.14%             | 2031-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/40 0.00000                                       | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3700000 | PA      | $1834838.40   | 0.04%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828904 FN 04/35 FLOATING VAR                     | CUSIP: 31407E3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94479 | PA      | $95731.70     | 0.00%             | 2035-04-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256059 FN 01/36 FIXED 5.5                        | CUSIP: 31371MMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12249 | PA      | $12813.29     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-9051.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-191.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-386.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888795 FN 11/36 FIXED VAR                        | CUSIP: 31410GNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50303 | PA      | $52619.83     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC SR UNSECURED 07/33 VAR                  | CUSIP: 02005NCA6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4032044.56   | 0.09%             | 2033-07-31      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2264.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/45 0.75                                 | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27654400 | PA      | $20187158.91  | 0.44%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/30 VAR              | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    9300000 | PA      | $9619828.77   | 0.21%             | 2030-07-10      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45             | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3153528.57   | 0.07%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $8160.06      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                                     | NEW YORK LIFE GLOBAL FDG SECURED 144A 01/26 VAR            | CUSIP: 64953BBK3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7301255.31   | 0.16%             | 2026-01-16      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6042 G2 07/49 FIXED 5                       | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     360016 | PA      | $366783.00    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                         | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         37 | PA      | $36.29        | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910724 FN 03/37 FIXED 6                          | CUSIP: 31411KYV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16290 | PA      | $17055.28     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBA3A3 PIMCO SWAPTION 3.925 PUT USD 2026010             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6100000 | NC      | $-1210.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3462 FN 09/33 FIXED 3.5                        | CUSIP: 31418CZ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7496 | PA      | $7417.36      | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                                        | FANNIE MAE FNR 2025 18 FM                                  | CUSIP: 3136BVKH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7275793 | PA      | $7301444.59   | 0.16%             | 2054-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                 | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  108800000 | PA      | $19206512.10  | 0.42%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-14480.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBA4A2 PIMCO SWAPTION 3.625 CALL USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6100000 | NC      | $-552.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                               | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/28 VAR       | CUSIP: 86563VCC1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    3500000 | PA      | $3513000.58   | 0.08%             | 2028-09-11      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                           | IPALCO ENTERPRISES INC SR SECURED 05/30 4.25               | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1076460.24   | 0.02%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04715 FG 06/38 FIXED 6                  | CUSIP: 3128M6SC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8248 | PA      | $8735.31      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/18/24-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $982709.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $128761.59    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                                  | PROJECT NOVA TERM LOAN                                     | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1000000 | PA      | $1000000.00   | 0.02%             | 2026-08-31      | Floating      | 6.61%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A16        | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5554443 | PA      | $2110270.73   | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/32 6.15              | CUSIP: P78024AF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2700000 | PA      | $866866.20    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/51 2.375                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10093000 | PA      | $6364109.66   | 0.14%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/43 3.875                                | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4300000 | PA      | $3858746.08   | 0.08%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBC3A9 PIMCO SWAPTION 3.919 PUT USD 2026011             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7800000 | NC      | $-3822.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS SR UNSECURED 11/55 5.875            | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1977378.90   | 0.04%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915635 FN 06/37 FIXED 6                          | CUSIP: 31411VHL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2358 | PA      | $2488.34      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $33571.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-20020.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                                    | GSAA HOME EQUITY TRUST GSAA 2007 9 A2A                     | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8783135 | PA      | $4819516.30   | 0.11%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                     | SYNOPSYS INC SR UNSECURED 04/28 4.65                       | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1318291.98   | 0.03%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                                | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69000000 | PA      | $48229922.22  | 1.06%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB9JA9 PIMCO SWAPTION 3.551 CALL USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5800000 | NC      | $-0.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 936805 FN 06/37 FIXED 6                          | CUSIP: 31412WGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11288 | PA      | $11730.91     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5190 FN 11/53 FIXED 5.5                        | CUSIP: 31418EXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1652035 | PA      | $1680522.76   | 0.04%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1            | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490605 | PA      | $420751.44    | 0.01%             | 2037-02-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 01/29 4.85                   | CUSIP: 87264ADE2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5475000 | PA      | $5593304.40   | 0.12%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806143 FN 12/34 FIXED 5.5                        | CUSIP: 31406CS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4624 | PA      | $4752.72      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $14297.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H060622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $30554296.80  | 0.67%             | 2056-02-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3849000 | PA      | $3905232.12   | 0.09%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/44 8.75                  | CUSIP: BPXR8CII6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5390000 | PA      | $313336.06    | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 10/30 VAR                      | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9313338.57   | 0.20%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                                        | MARBLE POINT CLO MP22 2021 2A AR 144A                      | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10700000 | PA      | $10711414.01  | 0.23%             | 2034-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $3163.02      | 0.00%             |  |  |  | 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        |          1 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85       | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16638421.90  | 0.36%             | 2026-09-16      | Fixed         | 1.85%                 | 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        |    8500000 | PA      | $8992497.82   | 0.20%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-161464.91   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-31812.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9255 05/08/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-14104.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35           | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     600000 | PA      | $626681.54    | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC SR UNSECURED 01/30 VAR                  | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8491386.16   | 0.19%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                  | CIGNA GROUP/THE SR UNSECURED 05/29 5                       | CUSIP: 125523CT5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7704603.83   | 0.17%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG          | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     400000 | PA      | $118000.00    | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257238 FN 06/28 FIXED 5                          | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1481 | PA      | $1492.32      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357944 FN 09/35 FIXED 6                          | CUSIP: 31376KS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7542 | PA      | $7933.84      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-542.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/48 3.125                                | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3500000 | PA      | $2659316.42   | 0.06%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91244 FG 04/29 FIXED 4.5                | CUSIP: 3128P7LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128735 | PA      | $129674.73    | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX SA COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       4828 | NS      | $108931.75    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                        | COREBRIDGE GLOB FUNDING SECURED 144A 08/27 4.65            | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1009976.82   | 0.02%             | 2027-08-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962062 FN 03/38 FIXED 5                          | CUSIP: 31414CJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37071 | PA      | $38116.87     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A80378 FG 12/36 FIXED 5.5                | CUSIP: 312926M39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $461.80       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256750 FN 06/27 FIXED 5                          | CUSIP: 31371NEX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1019 | PA      | $1020.79      | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5247 FN 01/54 FIXED 6                          | CUSIP: 31418EZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179732 | PA      | $184902.03    | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CE4252 GN 10/51 FIXED 4                          | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     768385 | PA      | $729811.96    | 0.02%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A             | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1586475 | PA      | $1587969.11   | 0.03%             | 2029-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5                | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68883 | PA      | $69242.82     | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-32T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 32T1 A3          | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2196602 | PA      | $1150676.65   | 0.03%             | 2035-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 04/28 VAR                             | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   14000000 | PA      | $14032559.38  | 0.31%             | 2028-04-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-13547.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766197 FN 02/34 FIXED 5.5                        | CUSIP: 31404EGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8201 | PA      | $8320.83      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $25862.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1943.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260213                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-6629.66     | -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      | $-19888.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-315812.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $58669.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                                | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3              | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |    2000000 | PA      | $1521856.34   | 0.03%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/50 0.25                                 | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13931170 | PA      | $8030075.87   | 0.18%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-32258.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2              | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     514739 | PA      | $514824.21    | 0.01%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY SR UNSECURED 02/29 5.95                  | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $7006755.82   | 0.15%             | 2029-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823544 FN 07/35 FIXED 6                          | CUSIP: 31406X5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6232 | PA      | $6458.29      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVI SENIOR LOAN FUND 2013-26A                                            | DRYDEN SENIOR LOAN FUND DRSLF 2013 26A AR 144A             | CUSIP: 26250UAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     495976 | PA      | $496582.86    | 0.01%             | 2029-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75      | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    9200000 | PA      | $9400038.82   | 0.21%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                                        | INVESCO EURO CLO INVSC 1A A1R 144A                         | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2073659 | PA      | $2438220.43   | 0.05%             | 2031-07-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA7022 FN 06/39 FIXED 4.5                        | CUSIP: 31416QYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41412 | PA      | $41729.50     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/51 1.875                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50280000 | PA      | $28112608.41  | 0.62%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                        | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2040000000 | PA      | $11333304.39  | 0.25%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/28 4.65             | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2015214.32   | 0.04%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.49576 06/14/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-374672.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-4638.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 09/29 3.5               | CUSIP: ACI30CGM7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3200000 | PA      | $3752028.10   | 0.08%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.83600 05/02/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-58056.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                                              | MFRA TRUST MFRA 2020 NQM1 A1 144A                          | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300222 | PA      | $1268756.11   | 0.03%             | 2065-03-25      | Variable      | 2.48%                 | 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        |    6450000 | PA      | $6364103.29   | 0.14%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                               | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   10000000 | PA      | $5900000.00   | 0.13%             | 2029-04-09      | Floating      | 15.95%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745516 FN 05/36 FIXED VAR                        | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40700 | PA      | $42574.91     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 05/28 8                         | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5345540.40   | 0.12%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2D           | CUSIP: 59022QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2060492 | PA      | $1015546.74   | 0.02%             | 2037-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04624 FG 02/33 FIXED 6                  | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4251 | PA      | $4418.18      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260226                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $63336.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S121 PIMCO FXVAN PUT USD KRW 1375.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -30357000 | NC      | $-55310.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6915.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735718 FN 07/35 FIXED VAR                        | CUSIP: 31402RK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6927 | PA      | $7308.37      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766604 FN 03/34 FIXED 5.5                        | CUSIP: 31404EU53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4989 | PA      | $5066.78      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $13153.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1                | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42428 | PA      | $41388.21     | 0.00%             | 2045-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-100387.58   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ7187 GN 10/49 FIXED 4                          | CUSIP: 3617LR6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128297 | PA      | $122201.25    | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-122557.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0915 FN 12/38 FIXED VAR                        | CUSIP: 31418NAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46175 | PA      | $48135.65     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1399.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS BANK REV REPO REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | ZA        | -472746164 | PA      | $-28547473.68 | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260220                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $77102.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745933 FN 09/36 FIXED VAR                        | CUSIP: 31403DV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20051 | PA      | $21215.70     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $922.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 935536 FN 08/39 FIXED 4.5                        | CUSIP: 31412UY95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13229 | PA      | $13218.68     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                                 | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2162300000 | PA      | $1369917.15   | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO9556 FN 07/42 FIXED 4                          | CUSIP: 3138M1TN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3746 | PA      | $3661.79      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7          | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   98080000 | PA      | $33298642.94  | 0.73%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                     | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11200000 | PA      | $11095007.06  | 0.24%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845341 FN 01/36 FIXED 5.5                        | CUSIP: 31408AEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1511 | PA      | $1580.48      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1140.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                       | ONTARIO (PROVINCE OF) SR UNSECURED 12/34 3.8               | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1139000 | PA      | $833360.19    | 0.02%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $914.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $539722.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 11/27 VAR                               | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4400000 | PA      | $4492505.82   | 0.10%             | 2027-11-07      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                                | FANNIE MAE FNR 2006 5 3A2                                  | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15349 | PA      | $15730.86     | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3559.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | NATIONAL GRID PLC SR UNSECURED 06/28 5.602                 | CUSIP: 636274AD4<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    3300000 | PA      | $3410153.67   | 0.07%             | 2028-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                      | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1769400000 | PA      | $9280313.23   | 0.20%             | 2055-03-20      | Fixed         | 2.40%                 | 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      | $2333297.56   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1           | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261503 | PA      | $119626.12    | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-20127.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                   | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301461 | PA      | $289137.32    | 0.01%             | 2035-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BR6233 GN 12/49 FIXED 4                          | CUSIP: 3617M44S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83045 | PA      | $79929.08     | 0.00%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1            | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340671 | PA      | $317293.83    | 0.01%             | 2034-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2023 1 A PTT PASS THRU CE 07/37 5.8             | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8490036 | PA      | $8899029.31   | 0.20%             | 2037-07-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                    | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53106 | PA      | $24508.95     | 0.00%             | 2037-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2483 FN 04/53 FIXED 5                          | CUSIP: 3140NJXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     941659 | PA      | $941788.09    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A3           | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4637514 | PA      | $1692743.79   | 0.04%             | 2037-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A            | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27693 | PA      | $28358.98     | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                                            | GRAY OAK PIPELINE LLC SR UNSECURED 144A 10/27 3.45         | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13300000 | PA      | $13155820.15  | 0.29%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2788.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8722 G2 03/53 FIXED 3.5                     | CUSIP: 36179XVP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     279317 | PA      | $256858.54    | 0.01%             | 2053-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $56908.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR                 | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $8331145.47   | 0.18%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5                | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173899 | PA      | $181965.51    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 683351 FN 02/33 FIXED 5.5                        | CUSIP: 31400CEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $398.94       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 1A1             | CUSIP: 86363GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     560542 | PA      | $468330.17    | 0.01%             | 2047-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A              | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4523245 | PA      | $6103207.66   | 0.13%             | 2049-12-21      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                       | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/28 1    | CUSIP: ACI0SY7X1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   18654250 | PA      | $22122845.83  | 0.48%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $15102.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-1206668.25  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928490 FN 06/37 FIXED 6                          | CUSIP: 31412LRK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4515 | PA      | $4763.44      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/54 4.5                                  | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6100000 | PA      | $5755445.28   | 0.13%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866593 FN 01/36 FIXED 5.5                        | CUSIP: 31409BXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1702 | PA      | $1765.79      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03646 FG 01/38 FIXED 6                  | CUSIP: 3128M5L32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12710 | PA      | $13461.98     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H01                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H01 FA             | CUSIP: 38382YQ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8488856 | PA      | $8527532.42   | 0.19%             | 2073-01-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $23653.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/35 4    | CUSIP: ACI2CQHN2<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    1800000 | PA      | $1125804.82   | 0.02%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745822 FN 09/36 FIXED VAR                        | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5868 | PA      | $6208.71      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                               | FANNIE MAE FNR 2005 79 NF                                  | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80458 | PA      | $79965.92     | 0.00%             | 2035-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260127                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $448144.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS LP                                                        | MID AMERICA APARTMENTS SR UNSECURED 03/30 2.75             | CUSIP: 59523UAR8<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2840258.64   | 0.06%             | 2030-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $44063.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/45 2.5                                  | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9800000 | PA      | $6943453.08   | 0.15%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-4444.22     | -0.00%            |  |  |  | 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        |    2300000 | PA      | $2726519.43   | 0.06%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S0G1 PIMCO FXVAN PUT USD KRW 1413.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   14843000 | NC      | $90646.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NGN BOUGHT USD 20261118                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $-124.09      | -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      | $61819.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739439 FN 09/33 FIXED 5.5                        | CUSIP: 31402VPY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26328 | PA      | $26706.43     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $413916.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901132 FN 09/36 FIXED 6                          | CUSIP: 31410YED2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        659 | PA      | $688.96       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A              | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     674000 | PA      | $904541.15    | 0.02%             | 2049-12-21      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-40536.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ1                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M5                | CUSIP: 70069FGE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     829437 | PA      | $822066.94    | 0.02%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8        | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9277758 | PA      | $9338223.21   | 0.20%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $14385.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-11339.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/28 4.75      | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   16100000 | PA      | $16269129.21  | 0.36%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| THE KOREA DEVELOPMENT BANK                                                       | KOREA DEVELOPMENT BANK SR UNSECURED 10/26 VAR              | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |    1900000 | PA      | $1911023.80   | 0.04%             | 2026-10-23      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080329 G2 10/29 FLOATING VAR                  | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3251 | PA      | $3254.23      | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A5                | CUSIP: 59020UVM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     521129 | PA      | $474754.20    | 0.01%             | 2035-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FB                                    | CUSIP: 3137FUKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2176309 | PA      | $2140191.33   | 0.05%             | 2040-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-82458.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ1005 GN 10/49 FIXED 4                          | CUSIP: 3617LKDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67824 | PA      | $64601.19     | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3918 FN 06/52 FIXED 4.5                        | CUSIP: 3140QPK89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     294239 | PA      | $289304.89    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-829.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1           | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1796181 | PA      | $1783569.10   | 0.04%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H26 DF             | CUSIP: 38382YJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6022661 | PA      | $6107682.89   | 0.13%             | 2072-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                                | HUNTINGTON INGALLS INDUS COMPANY GUAR 08/28 2.043          | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16106180.46  | 0.35%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-61514.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 2A3            | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32900432 | PA      | $9584662.29   | 0.21%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7047 FR 02/53 FIXED 5                  | CUSIP: 3133BUZL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4237244 | PA      | $4238349.73   | 0.09%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14799.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831811 FN 09/36 FIXED 6                          | CUSIP: 31407JDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4076 | PA      | $4313.43      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A5           | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570523 | PA      | $514378.90    | 0.01%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR                   | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4600000 | PA      | $5007200.14   | 0.11%             | 2034-03-09      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 2A4             | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4824694 | PA      | $4522890.68   | 0.10%             | 2037-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897984 FN 07/36 FIXED 6                          | CUSIP: 31410UUH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        663 | PA      | $681.10       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CITIGROUP REPO REPO                     5807               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    3400000 | PA      | $3400000.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A11                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A11 1A1           | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751997 | PA      | $433739.59    | 0.01%             | 2035-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2839372.93  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-21020.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75             | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1611162.30   | 0.04%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4298 FN 03/29 FIXED 4.5                        | CUSIP: 31416MX41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45349 | PA      | $45611.33     | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DIRECT LENDING FUND                                               | MORGAN STANLEY DIRECT SR UNSECURED 02/27 4.5               | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14985491.55  | 0.33%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                              | SAXON ASSET SECURITIES TRUST SAST 2006 3 A3                | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1536889 | PA      | $1518409.50   | 0.03%             | 2046-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806214 FN 01/35 FIXED 5.5                        | CUSIP: 31406CVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27604 | PA      | $28788.86     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2D           | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10741483 | PA      | $5957720.75   | 0.13%             | 2037-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/42 0.00000                                       | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6800000 | PA      | $2989728.12   | 0.07%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54900 FG 03/48 FIXED 3.5                | CUSIP: 3132XXNS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1351436 | PA      | $1270269.14   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/29 VAR                 | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9484036.38   | 0.21%             | 2029-07-24      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $45465.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $19299.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260203                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-356598.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25                | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4412397.27   | 0.10%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/29 VAR            | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    6700000 | PA      | $6776696.58   | 0.15%             | 2029-07-09      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5725 FN 08/42 FIXED 5                          | CUSIP: 3138M9LF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39042 | PA      | $39905.45     | 0.00%             | 2042-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 713975 FN 07/33 FIXED 5.5                        | CUSIP: 31401PFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5430 | PA      | $5578.07      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0199 FN 04/51 FIXED 3                          | CUSIP: 3140QKGH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     419601 | PA      | $373098.98    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 795297 FN 07/44 FLOATING VAR                     | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24260 | PA      | $24377.72     | 0.00%             | 2044-07-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| AMEREN MISSOURI SECURITIZATION FUNDING I LLC                                     | AMEREN MISSOURI SEC FU I SR SECURED 10/41 4.85             | CUSIP: 023940AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4335693 | PA      | $4373359.70   | 0.10%             | 2041-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1968.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $8366.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-6996.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT MAR26 XSFE 20260316                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        454 | NC      | $62029.59     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260210                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $11398.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/42 4                                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16490000 | PA      | $15119590.80  | 0.33%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 698772 GN 12/38 FIXED 6                          | CUSIP: 36296RJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2913 | PA      | $3035.86      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | CITIBANK NA SR UNSECURED 04/26 VAR                         | CUSIP: 17325FBE7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7005859.70   | 0.15%             | 2026-04-30      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-28.27       | -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      | $5180.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D               | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9681756 | PA      | $4881355.61   | 0.11%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| AVOCA CLO XXV DAC                                                                | AVOCA CLO AVOCA 25A A 144A                                 | CUSIP: ACI2RSH69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5000000 | PA      | $5883286.19   | 0.13%             | 2034-10-15      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A2          | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2408981 | PA      | $2352807.88   | 0.05%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                   | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   72600000 | PA      | $4358323.55   | 0.10%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | PROLOGIS LP SR UNSECURED 02/33 4.2                         | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   12800000 | PA      | $9392216.80   | 0.21%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 23A1          | CUSIP: 07384M4K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34075 | PA      | $32392.45     | 0.00%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5057991.26   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2107.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $15373.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75                  | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   12000000 | PA      | $699210.14    | 0.02%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   94700000 | PA      | $96038948.15  | 2.10%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 12A1 144A                     | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66899 | PA      | $66755.41     | 0.00%             | 2037-03-26      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ0309 FN 08/41 FIXED 4.5                        | CUSIP: 3138ARKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46220 | PA      | $46388.69     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5200.70      | 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      | $19538.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/35 5.7              | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1954594.83   | 0.04%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/35 3.137                 | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1481849.90   | 0.03%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                      | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  886000000 | PA      | $4117716.68   | 0.09%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |     128056 | NS      | $2889263.50   | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $13457.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA9350 FN 08/39 FIXED 5                          | CUSIP: 31416TL80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     441250 | PA      | $453996.09    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-5362.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 03/04/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-79314.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 765670 FN 01/34 FIXED 5.5                        | CUSIP: 31404DT32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38091 | PA      | $38648.17     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1060.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-128571.19   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SECURITIES NO 3 PLC                                            | LANDMARK MORTGAGE SECURITIES P LMS 3 A REGS                | CUSIP: ACI0B57H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7966261 | PA      | $10484052.79  | 0.23%             | 2044-04-17      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-931868.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                                          | DUKE ENERGY CORP SR UNSECURED 04/31 3.75                   | CUSIP: ACI2NP7R4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     800000 | PA      | $953425.77    | 0.02%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 2A1A          | CUSIP: 92925CCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308214 | PA      | $299192.96    | 0.01%             | 2046-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-23774.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS8865 FN 02/35 FIXED VAR                        | CUSIP: 3140XQZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2969653 | PA      | $2885609.28   | 0.06%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB7YA6 PIMCO SWAPTION 3.8475 PUT USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5600000 | NC      | $-492.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9761.71      | 0.00%             |  |  |  | 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        |    7300000 | PA      | $3934689.79   | 0.09%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                    | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A       | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7501372.05   | 0.16%             | 2035-04-20      | Floating      | 5.03%                 | 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        |    7300000 | PA      | $3776945.59   | 0.08%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 02/28 VAR                                 | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     600000 | PA      | $609614.69    | 0.01%             | 2028-02-08      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA13 2A1          | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172804 | PA      | $152233.41    | 0.00%             | 2035-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3122 FN 03/52 FIXED 3                          | CUSIP: 3140QNPG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30053557 | PA      | $26654005.19  | 0.58%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A         | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4177497 | PA      | $4174365.95   | 0.09%             | 2036-10-16      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735635 FN 06/35 FIXED VAR                        | CUSIP: 31402RHL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26914 | PA      | $27884.86     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/43 0.625                                | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1841086 | PA      | $1371818.35   | 0.03%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1508 GN 09/49 FIXED 4                          | CUSIP: 3617L7U98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221110 | PA      | $210973.98    | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7545 FN 10/28 FIXED 3                          | CUSIP: 3138X7L35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1378 | PA      | $1359.51      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A      | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5309107 | PA      | $5372326.40   | 0.12%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $9297.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948689 FN 08/37 FIXED 6                          | CUSIP: 31413LNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88664 | PA      | $92695.85     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815696 FN 03/35 FIXED 5                          | CUSIP: 31406PGD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $160.56       | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.25000 12/21/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $58364.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852463 FN 12/35 FIXED 6                          | CUSIP: 31408JB83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12547 | PA      | $12965.07     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/30 VAR               | CUSIP: 62954WAT2<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    1000000 | PA      | $1015746.84   | 0.02%             | 2030-07-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $18.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3851 FN 04/48 FIXED 4                          | CUSIP: 3140HHH57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235749 | PA      | $227658.21    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                              | DOLP TRUST DOLP 2021 NYC A 144A                            | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20100000 | PA      | $18083149.92  | 0.40%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $42899.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938440 FN 07/37 FIXED 6                          | CUSIP: 31412YBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27870 | PA      | $29492.15     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | 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        |    2500000 | PA      | $2504951.58   | 0.05%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357705 FN 02/35 FIXED 5.5                        | CUSIP: 31376KKS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        406 | PA      | $424.20       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M5               | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6757000 | PA      | $6703576.46   | 0.15%             | 2036-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25             | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1179067.79   | 0.03%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89900 03/11/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-31794.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $13723.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 FC                                    | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145830 | PA      | $146205.82    | 0.00%             | 2037-05-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786223 FH 01/28 FLOATING VAR             | CUSIP: 31348S4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $6.76         | 0.00%             | 2028-01-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3           | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1824408 | PA      | $1621659.31   | 0.04%             | 2035-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6322.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1         | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62458 | PA      | $60797.98     | 0.00%             | 2045-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CARLYLE FINANCE SUBSIDIARY LLC                                                   | CARLYLE FINANCE SUB LLC COMPANY GUAR 144A 09/29 3.5        | CUSIP: 14314DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4770145.84   | 0.10%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0520 FN 07/41 FIXED VAR                        | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     318800 | PA      | $332335.88    | 0.01%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A        | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1760074 | PA      | $839791.98    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A              | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4808649 | PA      | $4414253.40   | 0.10%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 06/28 VAR                 | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15608512.48  | 0.34%             | 2028-06-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/43 4.375                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15691000 | PA      | $14992873.05  | 0.33%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15                | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9404606.34   | 0.21%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 3A1          | CUSIP: 12667F2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6879796 | PA      | $5420599.73   | 0.12%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735124 FN 11/34 FIXED VAR                        | CUSIP: 31402QVR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        772 | PA      | $783.03       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-51613.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BS5196 GN 01/50 FIXED 4                          | CUSIP: 3617MFXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     449960 | PA      | $428584.84    | 0.01%             | 2050-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/49 2.875                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62500000 | PA      | $44860840.00  | 0.98%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 768601 FN 02/34 FIXED 5.5                        | CUSIP: 31404G3J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37239 | PA      | $38173.36     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0733 FN 05/26 FIXED 3.5                        | CUSIP: 31417YY76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3996 | PA      | $3982.62      | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8402 FR 02/54 FIXED 6                  | CUSIP: 3132DWKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71825 | PA      | $73852.98     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4                             | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 4 A2C            | CUSIP: 69121QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17200902 | PA      | $14517652.87  | 0.32%             | 2037-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75            | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9639762.86   | 0.21%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3364 FN 04/52 FIXED 3                          | CUSIP: 3140QNW24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8143491 | PA      | $7220167.70   | 0.16%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5            | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3165710 | PA      | $1888883.91   | 0.04%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 02/29 VAR                      | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6227693.56   | 0.14%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254145 FN 01/32 FIXED 5.5                        | CUSIP: 31371KHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1490 | PA      | $1541.57      | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1          | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     403561 | PA      | $366613.74    | 0.01%             | 2035-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                  | BAE SYSTEMS PLC SR UNSECURED 144A 02/31 1.9                | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    5300000 | PA      | $4703476.10   | 0.10%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/7.75000 04/07/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $16798.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB7ZA5 PIMCO SWAPTION 3.5475 CALL USD 20260             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5600000 | NC      | $-0.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                     | SYNOPSYS INC SR UNSECURED 04/30 4.85                       | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3882267.53   | 0.09%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HLDG S A COMMON STOCK                              | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      14228 | NS      | $321019.25    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/35 4.25                                 | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     711000 | PA      | $716221.41    | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-D                                                   | FREMONT HOME LOAN TRUST FHLT 2005 D M1                     | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8836987 | PA      | $8252112.12   | 0.18%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06479 FG 01/41 FIXED 4                  | CUSIP: 3128M8Q80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     464548 | PA      | $455783.39    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-7                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 7 B1              | CUSIP: 576433QG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1540999 | PA      | $1169976.45   | 0.03%             | 2034-08-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-4394.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12344.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                        | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393366 | PA      | $380538.27    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2005-WMC1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 WMC1 M2            | CUSIP: 92977YAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3857637 | PA      | $3612724.63   | 0.08%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 827898 FN 07/35 FIXED 6                          | CUSIP: 31407DX34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10575 | PA      | $10927.00     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-9451.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                       | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A       | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1420527 | PA      | $1422233.60   | 0.03%             | 2030-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR             | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $6.66         | 0.00%             | 2027-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 1 M1             | CUSIP: 64352VFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6427086 | PA      | $6722276.73   | 0.15%             | 2034-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC DELAYED DRAW TERM LOAN                      | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     429630 | PA      | $437148.95    | 0.01%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883947 FN 06/36 FIXED 6                          | CUSIP: 31410BBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1186 | PA      | $1240.66      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A                 | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    1465724 | PA      | $1731037.37   | 0.04%             | 2028-07-10      | Floating      | 4.37%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725425 FN 04/34 FIXED VAR                        | CUSIP: 31402C4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     303225 | PA      | $312116.41    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A        | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3350000 | PA      | $3350558.21   | 0.07%             | 2035-04-22      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 06/29 3.25                 | CUSIP: 756109AW4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     900000 | PA      | $876021.25    | 0.02%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2941 FN 03/32 FIXED 3.5                        | CUSIP: 31418CHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10305 | PA      | $10216.62     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CUMULUS STATIC CLO 2024-1 DAC 24-1A                                              | CUMULUS STATIC CLO CMLST 2024 1A A 144A                    | CUSIP: ACI2NK2H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5817255 | PA      | $6847300.39   | 0.15%             | 2033-11-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBBKA2 PIMCO SWAPTION 3.8775 PUT USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5700000 | NC      | $-5657.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824324 FN 06/35 FIXED 6                          | CUSIP: 31406YYV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        855 | PA      | $894.05       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948602 FN 08/37 FIXED 6                          | CUSIP: 31413LKP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58319 | PA      | $60298.10     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0898 FN 02/31 FIXED VAR                        | CUSIP: 3138EG7L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1728 | PA      | $1751.20      | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                     | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                   | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |    2000000 | PA      | $2358982.39   | 0.05%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $752.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/30 VAR                   | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4666661.69   | 0.10%             | 2030-03-04      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0720 FN 04/31 FIXED 5                          | CUSIP: 31417YYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32037 | PA      | $32607.18     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03620 FG 10/37 FIXED 6.5                | CUSIP: 3128M5K90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1757 | PA      | $1871.58      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/31 VAR                        | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   12000000 | PA      | $12301408.44  | 0.27%             | 2031-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-494476.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1500.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679               | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    9400000 | PA      | $8701064.79   | 0.19%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   52000000 | PA      | $50771580.60  | 1.11%             | 2055-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                   | VENTURE CDO LTD VENTR 2017 27A AR 144A                     | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     370704 | PA      | $371160.82    | 0.01%             | 2030-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994451 FN 11/38 FIXED 5.5                        | CUSIP: 31416AWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51248 | PA      | $53424.26     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | 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        |     497052 | PA      | $490690.33    | 0.01%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7072 FN 12/40 FIXED 5                          | CUSIP: 31419H2E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6835 | PA      | $6974.80      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOFTBANK GROUP CORP SNR JP SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-7458.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941448 FN 07/37 FIXED 6                          | CUSIP: 31413CL56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1374 | PA      | $1435.37      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-59130.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1895416.61   | 0.04%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-469458.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1            | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144810 | PA      | $136145.03    | 0.00%             | 2034-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A3                | CUSIP: 61755CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6051964 | PA      | $5552712.44   | 0.12%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 10/26 5.882            | CUSIP: 61690U7W4<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5786926.60   | 0.13%             | 2026-10-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                                         | GENERAL ELECTRIC CO SR UNSECURED 05/26 VAR                 | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    3771000 | PA      | $3776288.45   | 0.08%             | 2026-05-05      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                         | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16100000 | PA      | $15496692.75  | 0.34%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745343 FN 03/36 FIXED VAR                        | CUSIP: 31403DBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        590 | PA      | $616.99       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829768 FN 08/35 FIXED 6                          | CUSIP: 31407FZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11733 | PA      | $12041.67     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 03/27 3.75                  | CUSIP: BPSNB4II5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   45000000 | PA      | $60685068.89  | 1.33%             | 2027-03-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | NATIONAL GRID PLC SR UNSECURED 06/33 5.809                 | CUSIP: 636274AE2<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    3500000 | PA      | $3730698.83   | 0.08%             | 2033-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1750.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                               | FANNIE MAE FNR 2007 42 AF                                  | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8829 | PA      | $8710.22      | 0.00%             | 2037-05-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725423 FN 05/34 FIXED VAR                        | CUSIP: 31402C4G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     650888 | PA      | $669800.30    | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/38 5.125             | CUSIP: ACI30CT50<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1300000 | PA      | $1520044.80   | 0.03%             | 2038-03-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A           | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1442912 | PA      | $1457053.77   | 0.03%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.46000 03/13/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-39691.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/41 4.375                                | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3488000 | PA      | $3399710.00   | 0.07%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                                       | PHYSICIANS REALTY LP COMPANY GUAR 03/27 4.3                | CUSIP: 71951QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1552938.16   | 0.03%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0736 FN 05/41 FIXED 5                          | CUSIP: 31417YZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10973 | PA      | $11289.91     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-490279.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04479 FG 01/38 FIXED 6                  | CUSIP: 3128M6JY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32776 | PA      | $34669.46     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-41791.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/44 1.375                                | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3353016 | PA      | $2810508.37   | 0.06%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  109340000 | PA      | $112215399.27 | 2.46%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C18                                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C18 A4           | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7446000 | PA      | $7056028.41   | 0.15%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $7229.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | QUANTA SERVICES INC SR UNSECURED 08/28 4.3                 | CUSIP: 74762EAM4<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    9800000 | PA      | $9856111.86   | 0.22%             | 2028-08-09      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-7                                                         | FANNIE MAE FNR 2012 7 QF                                   | CUSIP: 3136A3VW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2945276 | PA      | $2921486.82   | 0.06%             | 2042-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK PLC                                                                  | LLOYDS BANK PLC SR UNSECURED REGS 04/32 VAR                | CUSIP: ACI14DZD4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |   14200000 | PA      | $10658796.90  | 0.23%             | 2032-04-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260227                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $22526.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |          1 | NC      | $168656.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91339 FG 10/30 FIXED 4                  | CUSIP: 3128P7PY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8627 | PA      | $8615.02      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $38260.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S162 PIMCO FXVAN PUT USD KRW 1415.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    7737000 | NC      | $43799.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-470.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-6                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 6 A2B            | CUSIP: 69121TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1680536 | PA      | $747910.33    | 0.02%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1231 FN 11/31 FIXED VAR                        | CUSIP: 3140J5LM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9973 | PA      | $9906.89      | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 06/28 5.75            | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8134566.80   | 0.18%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/40 3.3              | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $3266059.80   | 0.07%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 11/53 6.875         | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     500000 | PA      | $541820.78    | 0.01%             | 2053-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357843 FN 07/35 FIXED 6                          | CUSIP: 31376KP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4596 | PA      | $4849.45      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5405 FN 10/52 FIXED 4.5                        | CUSIP: 3140QRAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     503486 | PA      | $493747.76    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                   | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    3517797 | PA      | $34266862.19  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260309                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $24734.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALGONQUIN POWER & UTILITIES CORP                                                 | ALGONQUIN PWR + UTILITY SR UNSECURED 06/26 VAR             | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |    9700000 | PA      | $9747832.83   | 0.21%             | 2026-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F020620<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -60900000 | PA      | $-49231222.61 | -1.08%            | 2056-02-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-11020.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND SR UNSECURED 09/34 5.125                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    4600000 | PA      | $4722199.92   | 0.10%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $336.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8033 FR 02/35 FIXED 3.5                | CUSIP: 3132D54S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12525 | PA      | $12268.31     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | 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        |     106016 | PA      | $102210.97    | 0.00%             | 2035-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                                 | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3                 | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3976426 | PA      | $3901287.36   | 0.09%             | 2037-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST 2001-3                                                    | FIRST NATIONWIDE TRUST FNT 2001 3 1A1                      | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        239 | PA      | $239.36       | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A           | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11890551 | PA      | $10922225.15  | 0.24%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2008 R1 1A1 144A            | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4478466 | PA      | $3796946.89   | 0.08%             | 2037-12-26      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A              | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     674000 | PA      | $897565.55    | 0.02%             | 2049-12-21      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0482 G2 07/55 FIXED 4                       | CUSIP: 3618N5RC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4969106 | PA      | $4697611.49   | 0.10%             | 2055-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3                  | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17972081 | PA      | $15946035.90  | 0.35%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/27 VAR                   | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4100000 | PA      | $4101604.25   | 0.09%             | 2027-01-12      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7130 FR 04/52 FIXED 3                  | CUSIP: 3133KN4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9346931 | PA      | $8280402.25   | 0.18%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                         | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5702850.00   | 0.12%             | 2034-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 768217 FN 04/34 FIXED 5.5                        | CUSIP: 31404GPA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49567 | PA      | $50290.56     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $639.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766366 FN 02/34 FIXED 5.5                        | CUSIP: 31404EMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4307 | PA      | $4459.40      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 09/28 1.902          | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   17000000 | PA      | $16061039.68  | 0.35%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 GF             | CUSIP: 38382YY64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9298336 | PA      | $9369618.41   | 0.21%             | 2073-02-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                             | ADNOC MURBAN RSC LTD SR UNSECURED 144A 09/29 4.25          | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    4200000 | PA      | $4229738.06   | 0.09%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 777557 FN 05/34 FIXED 5.5                        | CUSIP: 31404SZW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8499 | PA      | $8760.59      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798675 FN 11/34 FIXED 5.5                        | CUSIP: 31405TJU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3388 | PA      | $3494.69      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS A2 144A                             | CUSIP: 990ABJRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    2000000 | PA      | $1334700.07   | 0.03%             | 2057-12-30      | Floating      | 5.71%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972606 FN 04/38 FIXED 5.5                        | CUSIP: 31414QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33440 | PA      | $34684.67     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                                              | SOUTHWESTERN ELEC POWER SR UNSECURED 09/28 4.1             | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    1361000 | PA      | $1361790.29   | 0.03%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-18CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 18CB 2A25        | CUSIP: 02151NBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4384156 | PA      | $2552424.23   | 0.06%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900130 FN 09/36 FIXED 6                          | CUSIP: 31410XA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15577 | PA      | $16391.57     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A68937 FG 11/37 FIXED 6                  | CUSIP: 3128L04W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4189 | PA      | $4390.25      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC SR UNSECURED 03/30 5.25                          | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7580433.22   | 0.17%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                                 | ROMARK CLO LTD RMRK 2021 5A AR 144A                        | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13000000 | PA      | $13009560.46  | 0.29%             | 2035-01-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930407 FN 01/39 FIXED 6                          | CUSIP: 31412NU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        357 | PA      | $372.90       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1            | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     422259 | PA      | $335754.68    | 0.01%             | 2046-12-26      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3195 FR 06/53 FIXED 5                  | CUSIP: 3132DQRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7120772 | PA      | $7214544.87   | 0.16%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/30 VAR        | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3649821.67   | 0.08%             | 2030-07-18      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815549 FN 03/35 FIXED 5.5                        | CUSIP: 31406PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6217 | PA      | $6432.49      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254983 FN 12/33 FIXED 5.5                        | CUSIP: 31371LFY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        482 | PA      | $495.09       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | 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        |   21300000 | PA      | $1099741.12   | 0.02%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5              | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2790000 | PA      | $2514443.14   | 0.06%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260303                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $484.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2258 FN 05/53 FIXED 5                          | CUSIP: 3140NJQL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     712361 | PA      | $711661.65    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $10575.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-25148.73    | -0.00%            |  |  |  | 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      | $-408969.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1585 FN 10/30 FIXED 4.5                        | CUSIP: 31416WXP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59854 | PA      | $60324.64     | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3343 FN 02/30 FIXED VAR                        | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54622 | PA      | $53854.68     | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3753.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A            | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        184 | PA      | $29020.09     | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC          | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1354000 | PA      | $1420947.09   | 0.03%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4687.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-137.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A65652 FG 09/37 FIXED 6                  | CUSIP: 3128KWH55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1580 | PA      | $1668.94      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-74516.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A76476 FG 04/38 FIXED 6                  | CUSIP: 3128LAFR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9345 | PA      | $9706.76      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A              | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2259000 | PA      | $3054895.20   | 0.07%             | 2049-12-21      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FM             | CUSIP: 38376RXJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9216 | PA      | $9187.40      | 0.00%             | 2066-08-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                               | FANNIE MAE FNR 2003 25 KP                                  | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95196 | PA      | $95445.85     | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR               | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $11625572.97  | 0.25%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $1587181.36   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1           | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        192 | PA      | $206.07       | 0.00%             | 2033-02-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91263 FG 08/29 FIXED 4                  | CUSIP: 3128P7ML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6900 | PA      | $6907.43      | 0.00%             | 2029-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2521.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-37304.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABILENE DC 5 LLC/ABILENE DC 6 LLC                                                | PROJECT FLASH TERM LOAN                                    | CUSIP: BA000KZ79<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4000000 | PA      | $4000000.00   | 0.09%             | 2030-04-30      | Floating      | 3.19%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898493 FN 10/36 FIXED 6                          | CUSIP: 31410VGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2136 | PA      | $2223.50      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1          | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7231490 | PA      | $1920588.93   | 0.04%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                          | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1          | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3181878 | PA      | $2947801.03   | 0.06%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828005 FN 06/35 FIXED 5.5                        | CUSIP: 31407D3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1172 | PA      | $1209.54      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | EXPEDIA GROUP INC COMPANY GUAR 02/30 3.25                  | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11700000 | PA      | $11226224.18  | 0.25%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL ENERGY COMPANY PJSC (TAQA)                                    | ABU DHABI NATIONAL ENERG SR UNSECURED 144A 10/31 4.375     | CUSIP: 00388WAQ4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    7000000 | PA      | $6998131.00   | 0.15%             | 2031-10-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2981 FR 02/26 FIXED 3.5                | CUSIP: 3131X6J27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $285.68       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H18 FB             | CUSIP: 38376REZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2113995 | PA      | $2116435.25   | 0.05%             | 2065-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A             | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3868074 | PA      | $3875748.97   | 0.08%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/49 1                                    | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3234875 | PA      | $2329743.16   | 0.05%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A            | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4491569 | PA      | $4529440.25   | 0.10%             | 2065-06-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/28 4.62              | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $405384.62    | 0.01%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/55 2.375                                | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3198797 | PA      | $3037732.64   | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/27 4.567             | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $403637.46    | 0.01%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3022 FR 02/26 FIXED 3.5                | CUSIP: 3131X6LB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $233.06       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 09/30 VAR            | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    6375000 | PA      | $6456803.94   | 0.14%             | 2030-09-11      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $340338.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR3206 FN 03/28 FIXED 3                          | CUSIP: 3138W0R43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7370 | PA      | $7281.02      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A                 | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32927 | PA      | $29374.51     | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $62501.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A2A                      | CUSIP: 00443PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1769231 | PA      | $942055.43    | 0.02%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                       | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80448 | PA      | $80243.86     | 0.00%             | 2044-03-25      | Floating      | 4.34%                 | 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        |     248362 | PA      | $238432.10    | 0.01%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256464 FN 09/26 FIXED 4.5                        | CUSIP: 31371MZ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        663 | PA      | $660.97       | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 GF             | CUSIP: 38382Y3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9180711 | PA      | $9232837.45   | 0.20%             | 2073-03-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890836 FN 11/27 FIXED VAR                        | CUSIP: 31410LV58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108370 | PA      | $108006.17    | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  FEB26C 130.5 EXP 01/23/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -28 | NC      | $-1316.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A56718 FG 01/37 FIXED 6                  | CUSIP: 3128KKPB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     501996 | PA      | $531785.84    | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260224                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $108571.84    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 07/29 VAR                      | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9495550.92   | 0.21%             | 2029-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $12198.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $24857.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 05/30 4.65                        | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4858772.04   | 0.11%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS3                                            | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS3 WMB 144A        | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3037000 | PA      | $2743755.78   | 0.06%             | 2049-10-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BANK OF AMERICA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -449112 | PA      | $-450042.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5                | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14935401 | PA      | $15155722.88  | 0.33%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA SR UNSECURED 144A 03/30 VAR       | CUSIP: 74977RDT8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    9200000 | PA      | $9509560.31   | 0.21%             | 2030-03-05      | Floating      | 5.45%                 | 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        |    1900000 | PA      | $1902195.81   | 0.04%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2007-1                                                                  | ALBA PLC ALBA 2007 1 A3 REGS                               | CUSIP: 995NAMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3799620 | PA      | $5085828.35   | 0.11%             | 2039-03-17      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                              | WELLS FARGO BANK NA SR UNSECURED 12/26 VAR                 | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $9163983.37   | 0.20%             | 2026-12-11      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-156614.48   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256022 FN 12/35 FIXED 5.5                        | CUSIP: 31371MLB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34197 | PA      | $35771.48     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-0.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $33077.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS BANK REV REPO REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | ZA        | -486940777 | PA      | $-29553892.86 | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYSTEMS EUROPE BV                                               | AMERICAN MEDICAL SYST EU COMPANY GUAR 03/29 3.375          | CUSIP: ACI2N0SQ8<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |    6300000 | PA      | $7523269.36   | 0.16%             | 2029-03-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A2           | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1787040 | PA      | $1631088.98   | 0.04%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-6                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 6 A2D            | CUSIP: 69121TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8263548 | PA      | $3677276.57   | 0.08%             | 2037-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 05/42 0.00000                                       | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15100000 | PA      | $6739945.10   | 0.15%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820266 FN 07/35 FIXED 5.5                        | CUSIP: 31406UJK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22281 | PA      | $23307.29     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 7A1            | CUSIP: 863579C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3765516 | PA      | $2416831.50   | 0.05%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3605.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04621 FG 05/35 FIXED 6                  | CUSIP: 3128M6PE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5168 | PA      | $5326.21      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL ESTATE E COMPANY GUAR 07/29 4.5            | CUSIP: 015271AG4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4508737.34   | 0.10%             | 2029-07-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 04/12/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-729524.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                     | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 10/31 4.375     | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    6800000 | PA      | $6775024.96   | 0.15%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $14107.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NGN BOUGHT USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $-433.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 05/28 4.5                         | CUSIP: 68389XCM5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4900121.96   | 0.11%             | 2028-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2173.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1            | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10814 | PA      | $10893.04     | 0.00%             | 2033-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1316.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2208.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H06                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H06 FL             | CUSIP: 38382YPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     307183 | PA      | $306648.96    | 0.01%             | 2072-01-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/49 3                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17900000 | PA      | $13190761.67  | 0.29%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $9270.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB             | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2913367 | PA      | $2948877.03   | 0.06%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H042620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40400000 | PA      | $39328453.02  | 0.86%             | 2056-02-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2051 FN 06/26 FIXED VAR                        | CUSIP: 3138EJH50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54766 | PA      | $54610.31     | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES SR UNSECURED 08/29 3.75                     | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4172391.57   | 0.09%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257203 FN 05/28 FIXED 5                          | CUSIP: 31371NU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1225 | PA      | $1233.32      | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $295.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 04/27 VAR                 | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9043994.16   | 0.20%             | 2027-04-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1039.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1            | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1993291 | PA      | $1913152.03   | 0.04%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                            | IVORY COAST SR UNSECURED 144A 10/31 5.875                  | CUSIP: ACI1G4C61<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    6200000 | PA      | $7345622.79   | 0.16%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S1B1 PIMCO FXVAN PUT USD KRW 1372.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -487000 | NC      | $-724.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843492 FN 10/35 FIXED 6                          | CUSIP: 31407XC58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1173 | PA      | $1237.91      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $38088.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GOLDMAN SACHS GROUP INC SNR S* ICE                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $26637.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0396 FN 12/35 FIXED VAR                        | CUSIP: 3138EGNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        909 | PA      | $935.18       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 03/24/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-79594.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -94700000 | PA      | $-96038948.15 | -2.10%            | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 12/26 6.05                 | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4472007.19   | 0.10%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 05/41 0.00000                                       | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $332428.97    | 0.01%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  FEB26P 112 EXP 01/23/2026                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -102 | NC      | $-32322.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544861 FN 12/36 FLOATING VAR                     | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10457 | PA      | $10592.87     | 0.00%             | 2036-12-01      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375         | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4599010.65   | 0.10%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A5A             | CUSIP: 12666UAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8132815 | PA      | $6939797.18   | 0.15%             | 2046-10-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 01/27 2.75                | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   13400000 | PA      | $13228698.69  | 0.29%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 727051 FN 09/33 FIXED 5.5                        | CUSIP: 31402EWL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $222.22       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                     | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   17900000 | PA      | $1085133.45   | 0.02%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  FEB26P 111.5 EXP 01/23/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -267 | NC      | $-41737.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 1A1A          | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3767889 | PA      | $3658160.79   | 0.08%             | 2045-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 05/28 VAR              | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3673939.07   | 0.08%             | 2028-05-26      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902974 FN 12/36 FIXED 6                          | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48989 | PA      | $51838.90     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | 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        | 1560000000 | PA      | $7998784.47   | 0.18%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 14.0087 05/12/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-5109.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994904 FN 09/35 FIXED 5.5                        | CUSIP: 31416BGM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20842 | PA      | $21526.01     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1            | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2253482 | PA      | $1112896.88   | 0.02%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-29853.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952645 FN 07/37 FIXED 6                          | CUSIP: 31413QZJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6162 | PA      | $6435.80      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/54 4.625                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19600000 | PA      | $18881843.85  | 0.41%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/18/26-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1245049.86   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256125 FN 01/26 FIXED 5                          | CUSIP: 31371MPJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $34.85        | 0.00%             | 2026-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080344 G2 11/29 FLOATING VAR                  | CUSIP: 36225CL20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3869 | PA      | $3886.84      | 0.00%             | 2029-11-20      | Floating      | 4.75%                 | 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        |   10700000 | PA      | $10912288.00  | 0.24%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A11           | CUSIP: 762009AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1034288 | PA      | $821559.45    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888893 FN 08/37 FIXED VAR                        | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2462 | PA      | $2575.52      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6130000 | PA      | $6114196.12   | 0.13%             | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A      | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6800000 | PA      | $7168455.28   | 0.16%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5                | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84966 | PA      | $88855.26     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-911.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1                 | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100394 | PA      | $520172.93    | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05666 FG 04/38 FIXED 6                  | CUSIP: 3128M7TX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14072 | PA      | $14882.13     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/47 0.875                                | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5125668 | PA      | $3700101.07   | 0.08%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $21788.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95              | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   22241000 | PA      | $7356714.81   | 0.16%             | 2031-08-12      | Fixed         | 6.95%                 | 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        |  530000000 | PA      | $3281100.61   | 0.07%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $13037.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6121.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-12372.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1            | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154216 | PA      | $153090.41    | 0.00%             | 2035-01-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835168 FN 08/35 FIXED 5.5                        | CUSIP: 31407MZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67382 | PA      | $70486.64     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5468                                                          | FREDDIE MAC FHR 5468 QF                                    | CUSIP: 3137HHBP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7192043 | PA      | $7216391.93   | 0.16%             | 2054-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 03/19/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-569311.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904700 FN 11/36 FIXED 6                          | CUSIP: 31411DDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10095 | PA      | $10467.57     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255111 FN 03/34 FIXED 5.5                        | CUSIP: 31371LKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1078 | PA      | $1107.03      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $5702.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                            | PFIZER INVESTMENT ENTER COMPANY GUAR 05/33 4.75            | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    1700000 | PA      | $1718541.65   | 0.04%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260302                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $38128.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 808413 FN 01/35 FIXED 5.5                        | CUSIP: 31406FDS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3669 | PA      | $3792.05      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1          | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71686 | PA      | $64395.67     | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | 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      | $-206388.08   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AN1786 GN 07/45 FIXED 3                          | CUSIP: 36185G6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109523 | PA      | $99079.29     | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA             | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1615431 | PA      | $1621338.44   | 0.04%             | 2066-10-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC SR UNSECURED 05/35 4.5                            | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   15550000 | PA      | $14954658.61  | 0.33%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850548 FN 09/36 FIXED 6                          | CUSIP: 31408F5H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13754 | PA      | $14117.36     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10694.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NY SOCIETY FOR RELIEF OF RUPTURED & CRIPPLED MAINTAINING HOSP SPECIAL SURGERY    | HOSPITAL SPECIAL SURGERY SECURED 10/50 2.667               | CUSIP: 44107HAF9<br>LEI: 549300U0XV0GGBTV6I72 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1845074.67   | 0.04%             | 2050-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5           | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353642 | PA      | $351776.28    | 0.01%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 03/28 VAR                               | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    8200000 | PA      | $8341591.78   | 0.18%             | 2028-03-14      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1562 GN 07/49 FIXED 4                          | CUSIP: 3617KGWX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5765 | PA      | $5490.85      | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A80388 FG 12/36 FIXED 6                  | CUSIP: 312926ND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9058 | PA      | $9567.60      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6220 FN 05/53 FIXED 4.5                        | CUSIP: 3140QR4E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2164795 | PA      | $2129921.04   | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0268 FN 10/36 FIXED 5.5                        | CUSIP: 31417JJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5324 | PA      | $5522.41      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 06/29 6.1              | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7600000 | PA      | $7935436.26   | 0.17%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                         | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A             | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12027900 | PA      | $10526155.27  | 0.23%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBA6A0 PIMCO SWAPTION 3.625 CALL USD 202601             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | LU        |   -2900000 | NC      | $-262.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $1887849.84   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-117871.66   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2241                                                                 | FREDDIE MAC FHR 2241 PH                                    | CUSIP: 3133TPF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        649 | PA      | $678.67       | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                    | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10432 | PA      | $9932.34      | 0.00%             | 2034-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 699537 FN 07/33 FIXED 5.5                        | CUSIP: 31400WEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        712 | PA      | $728.18       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBEWA3 PIMCO SWAPTION 3.882 PUT USD 2026012             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5900000 | NC      | $-17449.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                                          | CFCRE COMMERCIAL MORTGAGE TRUS CFCRE 2016 C7 ASB           | CUSIP: 12532BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1131493 | PA      | $1128169.38   | 0.02%             | 2054-12-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A        | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   10250000 | PA      | $10253983.77  | 0.22%             | 2035-07-17      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C62771 FG 01/32 FIXED 7.5                | CUSIP: 31287NCG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1787 | PA      | $1840.32      | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889633 FN 08/37 FIXED VAR                        | CUSIP: 31410KLN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9937 | PA      | $10394.78     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LTD                                     | ROYAL BK SCOTLAND INTL LTD USD SR NT SER E                 | CUSIP: 929QCQII3<br>LEI: 21380078CCZSEEIIKA41 | Long             | DBT              | CORP              | JE        |    5000000 | PA      | $4995650.00   | 0.11%             | 2028-12-16      | Fixed         | 4.66%                 | Yes           |                  3 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST REF MORT 03/48 4.125               | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     950000 | PA      | $724322.61    | 0.02%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 03/18/26-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-452360.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                        | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15             | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8331016.29   | 0.18%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0534 FN 10/30 FIXED 4                          | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60962 | PA      | $60810.47     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260316                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $15101.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775474 FN 05/34 FIXED 5.5                        | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9998 | PA      | $10401.08     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                         | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A         | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6116324 | PA      | $8252256.28   | 0.18%             | 2053-07-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A1          | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3197592 | PA      | $1255001.93   | 0.03%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1          | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549041 | PA      | $481635.41    | 0.01%             | 2036-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 3 LLC/ABILENE DC 4 LLC                                                | PROJECT FLASH DELAYED DRAW TERM LOAN 2                     | CUSIP: BA000KJT9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4000000 | PA      | $4000000.00   | 0.09%             | 2030-04-30      | Floating      | 4.33%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 983471 FN 05/38 FIXED 5.5                        | CUSIP: 31415LQY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6453 | PA      | $6709.54      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/27 VAR                 | CUSIP: 65535HBQ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    7200000 | PA      | $7258462.34   | 0.16%             | 2027-07-02      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H060614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32060000 | PA      | $32674900.86  | 0.72%             | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0793 FN 10/39 FIXED 4.5                        | CUSIP: 31417J3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55192 | PA      | $55592.14     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                               | CONAGRA BRANDS INC SR UNSECURED 08/35 5.75                 | CUSIP: 205887CL4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $7049913.26   | 0.15%             | 2035-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $25752.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3482 FR 08/26 FIXED 3.5                | CUSIP: 3131X62P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $461.87       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S170 PIMCO FXVAN PUT USD KRW 1375.0000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -7737000 | NC      | $-11156.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0578 FN 08/26 FIXED VAR                        | CUSIP: 3138EGUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        837 | PA      | $833.84       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA/NEW YORK BRANCH                                           | GOLDMAN SACHS BANK USA SR UNSECURED 03/27 VAR              | CUSIP: 38151LAE0<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7709243.00   | 0.17%             | 2027-03-18      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/35 2.75         | CUSIP: ACI0C4L00<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   17800000 | PA      | $10101282.38  | 0.22%             | 2035-06-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-630.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 3A4                 | CUSIP: 466247QA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1428 | PA      | $1424.96      | 0.00%             | 2035-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AO7556 GN 08/45 FIXED 3                          | CUSIP: 3617A8MD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     564723 | PA      | $510876.61    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD9898 FR 04/52 FIXED 3                  | CUSIP: 3133B77K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19821228 | PA      | $17573805.81  | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A68998 FG 11/37 FIXED 6                  | CUSIP: 3128L07K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15732 | PA      | $16665.94     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP JPM                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-387.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                             | JACKSON NATL LIFE GLOBAL SECURED 144A 09/30 4.55           | CUSIP: 46849LVH1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6878808.10   | 0.15%             | 2030-09-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $21743.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                                | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A               | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     221576 | PA      | $222647.76    | 0.00%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6086 FN 03/53 FIXED 5                          | CUSIP: 3140NAXQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260808 | PA      | $261917.26    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3              | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197049.54    | 0.00%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-88589.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 05/30 VAR                                 | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    8400000 | PA      | $8697436.69   | 0.19%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $12968.46     | 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        |     110771 | PA      | $99803.05     | 0.00%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3101 FN 03/52 FIXED 2                          | CUSIP: 3140MGNT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9332963 | PA      | $7555555.40   | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190367 FN 01/36 FIXED VAR                        | CUSIP: 31368HMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14738 | PA      | $15416.78     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                                 | FREDDIE MAC FHR 2266 F                                     | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.21         | 0.00%             | 2030-11-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/50 1.625                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6800000 | PA      | $3571859.39   | 0.08%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-4477.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/33 VAR                        | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $5147370.77   | 0.11%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                                             | SALES TAX SECURITIZATION CORP STSGEN 01/31 FIXED 2.857     | CUSIP: 79467BDE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5000000 | PA      | $4702660.50   | 0.10%             | 2031-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-30316.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/54 2.125                                | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14640834 | PA      | $13169134.58  | 0.29%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3099 FN 09/32 FIXED VAR                        | CUSIP: 3140X6NR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107977 | PA      | $107517.96    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255843 FN 09/35 FIXED 5.5                        | CUSIP: 31371MEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47175 | PA      | $49346.73     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | PARAMOUNT GLOBAL COMPANY GUAR 06/28 3.7                    | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1173639.64   | 0.03%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1            | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72135 | PA      | $69035.59     | 0.00%             | 2034-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A            | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2041012 | PA      | $2085979.32   | 0.05%             | 2041-02-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBBLA1 PIMCO SWAPTION 3.5775 CALL USD 20260             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5700000 | NC      | $-624.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH             | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     838863 | PA      | $843839.00    | 0.02%             | 2066-01-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    9200000 | PA      | $9314051.39   | 0.20%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 2A1           | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3882110 | PA      | $2644330.19   | 0.06%             | 2036-06-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-38                                                        | FANNIE MAE FNR 2015 38 DF                                  | CUSIP: 3136APAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598417 | PA      | $592413.25    | 0.01%             | 2055-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A81614 FG 09/38 FIXED 6                  | CUSIP: 312927YK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1137 | PA      | $1200.84      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-960.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB9UA6 PIMCO SWAPTION 3.86 PUT USD 20260105             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-1175.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                                     | CUBESMART LP COMPANY GUAR 12/28 2.25                       | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $7782502.17   | 0.17%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942569 FN 08/37 FIXED 6                          | CUSIP: 31413DT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2103 | PA      | $2207.01      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS D 144A                              | CUSIP: 990ABJSD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     900000 | PA      | $600615.03    | 0.01%             | 2057-12-30      | Floating      | 6.56%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255844 FN 09/35 FIXED 6                          | CUSIP: 31371MER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9700 | PA      | $10263.99     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1225388.33   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $12.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      43458 | NS      | $980521.13    | 0.02%             |  |  |  | Yes           |                  3 | 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        |    3505416 | PA      | $3245086.63   | 0.07%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA0653 FN 12/38 FIXED 5                          | CUSIP: 31416HWP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40691 | PA      | $41866.72     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831232 FN 01/36 FIXED 5.5                        | CUSIP: 31407HPR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5377 | PA      | $5624.13      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A             | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     799915 | PA      | $645189.66    | 0.01%             | 2035-07-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.54841 06/13/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1454165.21  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 842150 FN 10/35 FIXED 6                          | CUSIP: 31407VTF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4044 | PA      | $4236.02      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260224                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $50637.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889176 FN 03/38 FIXED VAR                        | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177416 | PA      | $185112.26    | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5628.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $10105.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4              | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423419 | PA      | $422202.75    | 0.01%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 12/27 4.25                       | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2785250.64   | 0.06%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7195 FN 09/27 FIXED 3                          | CUSIP: 3138LX7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2031 | PA      | $2012.02      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS C 144A                              | CUSIP: 990ABJSB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     800000 | PA      | $533880.03    | 0.01%             | 2057-12-30      | Floating      | 6.16%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 12/21/22-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27578137.49  | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Variable Insurance Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer