# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001752724-25-207159
**Filing Date:** 2025-8
**Character Count:** 694403
**Document Hash:** 5ad26a3a25d69660b03183a6108839de
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-207159.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-207159

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087

**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:** 811-10183
- **FILM NUMBER:** 251260887

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### PIMCO Total Return Portfolio (Series ID: S000011100)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030635 | Class A      |  |
| C000030636 | Class B      |  |
| C000030638 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** PIMCO Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000011100

- **c. LEI of Series:** TY07AK2IOS83GROMUB16

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6898429906.61

**Total Liabilities:** $3339969225.46

**Net Assets:** $3558460681.15

**Delayed Delivery Securities:** $2388815740.09

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -9721.12000000 | **1-Year:** -166172.49000000 | **5-Year:** -313277.38000000 | **10-Year:** -146988.07000000 | **30-Year:** -25968.18000000

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

- **3-Month:** -1595.16000000 | **1-Year:** -20214.36000000 | **5-Year:** -59997.77000000 | **10-Year:** -34834.44000000 | **30-Year:** -2987.09000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030635 | 0.10%                | -0.78%               | 1.92%                |
| Class ID C000030638 | 0.10%                | -0.79%               | 1.95%                |
| Class ID C000030636 | 0.10%                | -0.80%               | 1.89%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-16356292.42            | $15471024.15                               |
| Month 2  | $-14027126.85            | $-27447837.37                              |
| Month 3  | $-2028237.89             | $57930379.87                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349ULF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12568 | PA      | $12937.54     | 0.00%             | 2035-02-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7525* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11300000 | OU      | $-129844.91   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2006-WMC1                                 | CUSIP: 61744CXM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     529419 | PA      | $520366.88    | 0.01%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                                      | MF1 2020-FL4 Ltd                                                                 | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1910174 | PA      | $1911368.73   | 0.05%             | 2035-12-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2005-AR6                                                 | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5461 | PA      | $5244.13      | 0.00%             | 2035-09-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4869625 | PA      | $4805447.94   | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KRB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5948103 | PA      | $5847586.43   | 0.16%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $328414.76    | 0.01%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        934 | PA      | $933.24       | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $5408.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6500000 | PA      | $5141855.49   | 0.14%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   13300000 | PA      | $12991777.55  | 0.37%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3880 | PA      | $3942.34      | 0.00%             | 2035-01-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                  | SBA Tower Trust                                                                  | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              |  | US        |   13000000 | PA      | $12290502.90  | 0.35%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $7129317.87   | 0.20%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $486.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-38609.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962845 | PA      | $458089.72    | 0.01%             | 2036-05-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC Energy Group Inc                                                             | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    4525000 | PA      | $4240342.88   | 0.12%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10727151 | PA      | $8737334.18   | 0.25%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                                                        | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2228763 | PA      | $2198747.50   | 0.06%             | 2034-12-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JM6N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2757 | PA      | $2811.21      | 0.00%             | 2035-02-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        420 | PA      | $420.11       | 0.00%             | 2027-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Accept Corp Asset Back Certs Ser 2003 5                      | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5975 | PA      | $6212.72      | 0.00%             | 2033-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-43580.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                           | Residential Asset Securitization Trust 2006-A5CB                                 | CUSIP: 76112FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2853764 | PA      | $1078825.36   | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Huntington Auto Trust                                                            | Huntington Auto Trust 2024-1                                                     | CUSIP: 446144AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1280571 | PA      | $1282088.48   | 0.04%             | 2027-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                                           | Santander Holdings USA Inc                                                       | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7391158.20   | 0.21%             | 2031-03-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QA4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47071 | PA      | $47819.63     | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3100000 | PA      | $2317855.46   | 0.07%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137765 | PA      | $135572.35    | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2436.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |          1 | NC      | $410.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO Bank NV                                                                 | CUSIP: 00084DBC3<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    7500000 | PA      | $7538871.00   | 0.21%             | 2026-10-13      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3917718 | PA      | $2089960.42   | 0.06%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LANZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30881 | PA      | $31531.28     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222340 | PA      | $229296.24    | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | SOUTH AFRICA EM SP CBK                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    3100000 | OU      | $11130.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3200000 | PA      | $2280750.02   | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5632319.57   | 0.16%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2004-FF8                                      | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1178836 | PA      | $1182859.59   | 0.03%             | 2034-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9EPA4 PIMCO SWAPTION 3.701 CALL USD 202506                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2600000 | NC      | $-2778.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities Trust 2001-3                                | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1575 | PA      | $1570.82      | 0.00%             | 2032-10-27      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-359.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AKXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1093 | PA      | $1083.79      | 0.00%             | 2031-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QR5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4499077 | PA      | $4316128.15   | 0.12%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                           | Sequoia Mortgage Trust 6                                                         | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50384 | PA      | $49176.54     | 0.00%             | 2027-04-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43500000 | PA      | $39158934.03  | 1.10%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-417732.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2005-11                                            | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     344349 | PA      | $356719.30    | 0.01%             | 2035-10-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | GENERAL ELECTRIC COMPANY SNR S* ICE                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    4700000 | OU      | $41289.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200417.76    | 0.01%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                       | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8011703.71   | 0.23%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-28747.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-26343.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-123234.92   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-23742.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-8153.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN  AUG25C 112 EXP 07/25/2025                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -54 | NC      | $-40500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312931ST6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32064 | PA      | $32819.23     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $4995926.16   | 0.14%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2282 | PA      | $2369.31      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-175418.71   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                             | Adnoc Murban Rsc Ltd                                                             | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    3900000 | PA      | $3877881.93   | 0.11%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                              | Mastr Asset Backed Securities Trust 2006-WMC3                                    | CUSIP: 55291KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2921962 | PA      | $983477.76    | 0.03%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     878634 | PA      | $401899.29    | 0.01%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                          | CUSIP: 54627RAS9<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    5900000 | PA      | $6031348.75   | 0.17%             | 2034-12-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        699 | PA      | $701.62       | 0.00%             | 2028-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418WMN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1436 | PA      | $1433.00      | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $4408.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71875 | PA      | $71949.19     | 0.00%             | 2035-09-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                         | OBX 2023-NQM1 Trust                                                              | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5308648 | PA      | $5302317.30   | 0.15%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    7900000 | PA      | $8115452.67   | 0.23%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2007-6                                     | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1568052 | PA      | $1627942.40   | 0.05%             | 2037-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp                                    | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                   | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5900000 | PA      | $5959620.09   | 0.17%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                           | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $4103859.40   | 0.12%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31368HMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156720 | PA      | $161225.48    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16305 | PA      | $16827.54     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418SSA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.15        | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405TTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1487 | PA      | $1519.50      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-83309.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-224230.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOLVAY FINANCE (AMERICA)                                                         | Syensqo Finance America LLC                                                      | CUSIP: 834423AE5<br>LEI: 54930073OEL5K0Y7NK81 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1971087.25   | 0.06%             | 2029-06-04      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-41352.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     500000 | PA      | $508302.15    | 0.01%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1680000 | PA      | $514343.30    | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                             | CUSIP: 636180BS9<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6466859.84   | 0.18%             | 2026-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11603052 | PA      | $6734764.81   | 0.19%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16183 | PA      | $16393.32     | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-2394.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5791912.39   | 0.16%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $2119.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16351 | PA      | $16246.06     | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4T94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1118 | PA      | $1153.56      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179708 | PA      | $184897.44    | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $57584.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                           | Structured Asset Investment Loan Trust 2006-BNC3                                 | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     161029 | PA      | $159960.82    | 0.00%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2003-2F                                                  | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         34 | PA      | $35.06        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296UUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40031 | PA      | $40560.52     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405R7C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168202 | PA      | $173452.74    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1547929.06   | 0.04%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                    | DTE Energy Co                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3059091.60   | 0.09%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14241682 | PA      | $13105006.08  | 0.37%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-496065.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410REW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        834 | PA      | $852.89       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $11925.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4594242.25   | 0.13%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-930.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-88.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406TLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16565 | PA      | $17116.06     | 0.00%             | 2035-04-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9GAA5 PIMCO SWAPTION 2.64 PUT EUR 20250703                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-1236.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | Citibank NA                                                                      | CUSIP: 17325FBC1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7517199.79   | 0.21%             | 2026-12-04      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2224677.42   | 0.06%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31382D4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2036 | PA      | $2097.11      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23483 | PA      | $23477.93     | 0.00%             | 2062-12-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CEV25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9581235 | PA      | $9757868.02   | 0.27%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                                                    | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10563175 | PA      | $8571029.17   | 0.24%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12800000 | PA      | $12874499.97  | 0.36%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10650000 | PA      | $11583862.50  | 0.33%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                    | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70034 | PA      | $69503.09     | 0.00%             | 2035-01-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust                                             | Toyota Auto Loan Extended Note Trust 2023-1                                      | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    3900000 | PA      | $3978215.67   | 0.11%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   13000000 | PA      | $12160993.00  | 0.34%             | 2031-09-18      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |          1 | NC      | $742.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20430 | PA      | $20960.90     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO                                                         | Abu Dhabi Developmental Holding Co PJSC                                          | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    5300000 | PA      | $5219349.00   | 0.15%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $727173.71    | 0.02%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE                                                         | Walgreens Boots Alliance Inc                                                     | CUSIP: 931427AQ1<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1467642.63   | 0.04%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-583179.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QTA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398699 | PA      | $399236.31    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3800000 | PA      | $4053496.14   | 0.11%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AM95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $30.37        | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $6916.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                                                | Catamaran CLO 2014-1 Ltd                                                         | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |    1888356 | PA      | $1888497.36   | 0.05%             | 2030-04-22      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV                                                                     | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    9200000 | PA      | $9293603.47   | 0.26%             | 2029-03-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406A2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10780 | PA      | $10927.29     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9L3A2 PIMCO SWAPTION 4.0525 PUT USD 202507                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-286.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U9FTA7 PIMCO SWAPTION 4.05 PUT USD 20250630                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2600000 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62877 | PA      | $62520.29     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398377 | PA      | $374279.45    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-71339.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140A4XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10580316 | PA      | $10763041.05  | 0.30%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416B2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12974 | PA      | $13316.54     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $206927.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                                  | AREIT 2022-CRE6 Trust                                                            | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6887465 | PA      | $6876661.66   | 0.19%             | 2037-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5940290.78   | 0.17%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404RSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $520.15       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7KW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18969 | PA      | $19508.49     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3226477 | PA      | $3162268.39   | 0.09%             | 2043-10-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    9800000 | PA      | $9096390.28   | 0.26%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A3DC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1271525 | PA      | $1251424.19   | 0.04%             | 2048-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $17997.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U9JTA9 PIMCO SWAPTION 3.772 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2700000 | NC      | $-24514.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $11682.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $90262.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407GUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3457 | PA      | $3492.30      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AWTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28463 | PA      | $28193.75     | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9LEA0 PIMCO SWAPTION 2.72 PUT EUR 20250716                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1600000 | NC      | $-2592.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                         | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1117572 | PA      | $1079736.27   | 0.03%             | 2044-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | T-MOBILE USA INC SNR S* ICE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    7000000 | OU      | $938000.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316211 | PA      | $300909.20    | 0.01%             | 2036-02-20      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                       | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   12400000 | PA      | $11041697.68  | 0.31%             | 2031-07-10      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6GG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15195 | PA      | $15608.63     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | Extra Space Storage LP                                                           | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   13500000 | PA      | $11729588.27  | 0.33%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415QB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3191 | PA      | $3302.09      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    6900000 | PA      | $6966994.45   | 0.20%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                                                | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4058 | PA      | $3917.29      | 0.00%             | 2032-01-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312930TR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $580.31       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5333.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.75000 12/18/24-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   60700000 | OU      | $-860883.82   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                                                         | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |    8900000 | PA      | $8938066.81   | 0.25%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8000000 | OU      | $-116028.80   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                                   | Accredited Mortgage Loan Trust 2004-2                                            | CUSIP: 004375AW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2132468 | PA      | $2110766.04   | 0.06%             | 2034-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | Standard Chartered PLC                                                           | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    5500000 | PA      | $5713137.82   | 0.16%             | 2029-01-09      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397007 | PA      | $350648.58    | 0.01%             | 2046-10-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CA30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        810 | PA      | $809.28       | 0.00%             | 2026-11-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44566 | PA      | $45993.68     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                                                   | IXIS Real Estate Capital Trust 2004-HE4                                          | CUSIP: 45071KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     910942 | PA      | $923364.60    | 0.03%             | 2035-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8769000 | PA      | $7396118.43   | 0.21%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                                                             | Mercedes-Benz Finance North America LLC                                          | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7382681.19   | 0.21%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A9TL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54914 | PA      | $54128.83     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ADS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        226 | PA      | $226.17       | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6407607.44   | 0.18%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55155 | PA      | $54211.04     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2073 | PA      | $2131.86      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3963632.48   | 0.11%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A2UF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28571 | PA      | $28444.65     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410CME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1062 | PA      | $1100.15      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1632000 | PA      | $1575422.80   | 0.04%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138206 | PA      | $135988.63    | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust                                           | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1848349 | PA      | $1421085.52   | 0.04%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9600000 | PA      | $6603000.00   | 0.19%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-355816.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |          1 | NC      | $8391.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6131771.88   | 0.17%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38383KKU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15963505 | PA      | $16009339.69  | 0.45%             | 2073-12-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CNY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $-99.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                 | CUSIP: 79467BDH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2000000 | PA      | $1753553.20   | 0.05%             | 2034-01-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407MZ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        160 | PA      | $164.37       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96306 | PA      | $96272.46     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ADP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252985 | PA      | $248817.90    | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7CQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152633 | PA      | $157222.18    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED MYR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MY        |          1 | NC      | $1976.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                                               | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1670000000 | PA      | $10978129.23  | 0.31%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                                         | Huntington Ingalls Industries Inc                                                | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   13800000 | PA      | $12848168.60  | 0.36%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2007-1                                     | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4767449 | PA      | $4437741.19   | 0.12%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                                                    | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $13965310.80  | 0.39%             | 2038-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INF CAP                                                           | HA Sustainable Infrastructure Capital Inc                                        | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4556099.79   | 0.13%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | NZ        |          1 | NC      | $8192.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13346000 | PA      | $11936017.79  | 0.34%             | 2049-10-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1754270 | PA      | $1787870.26   | 0.05%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 11.54841 06/13/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  190300000 | OU      | $-1149129.55  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                                      | Bear Stearns ARM Trust 2005-10                                                   | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382345 | PA      | $382612.86    | 0.01%             | 2035-10-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                                           | Brazil Letras do Tesouro Nacional                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   34500000 | PA      | $6124314.26   | 0.17%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DL0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5029300.20   | 0.14%             | 2026-10-30      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                                 | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1976635 | PA      | $522576.05    | 0.01%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-168020.65   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                                 | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1185106 | PA      | $1122196.09   | 0.03%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DAZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72981 | PA      | $72134.71     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-6901.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L1WN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2260 | PA      | $2319.97      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    5800000 | PA      | $6093178.92   | 0.17%             | 2029-09-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                           | Structured Asset Investment Loan Trust 2005-9                                    | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2748197 | PA      | $2693749.61   | 0.08%             | 2035-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                                                            | COLOMBIA LA SP BPS                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |     500000 | OU      | $-3972.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31712 | PA      | $31717.47     | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403NZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76714 | PA      | $76719.22     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2              | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542573 | PA      | $249656.58    | 0.01%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-37077.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                                   | HarborView Mortgage Loan Trust 2005-2                                            | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260483 | PA      | $250123.69    | 0.01%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                               | RGA Global Funding                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6188970.42   | 0.17%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8147 | PA      | $8395.77      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 11.49576 06/14/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22200000 | OU      | $-138437.69   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | 317U9EKA9 PIMCO SWAPTION 2.36 PUT EUR 20250630                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1800000 | NC      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YAR59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45493 | PA      | $42705.79     | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $19316.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $417798.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617JV7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     279168 | PA      | $281664.14    | 0.01%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $11651.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                                               | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1394800000 | PA      | $8887763.81   | 0.25%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | GENERAL ELECTRIC COMPANY SNR S* ICE                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     500000 | OU      | $6520.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    7450000 | PA      | $7258359.85   | 0.20%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10200000 | PA      | $10171052.40  | 0.29%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | Citibank NA                                                                      | CUSIP: 17325FBA5<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5510489.49   | 0.15%             | 2025-09-29      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404R3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        574 | PA      | $587.41       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297BXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11570 | PA      | $11685.98     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128K2F61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9625 | PA      | $9943.56      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.25000 09/17/25-30Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   29100000 | OU      | $3600606.19   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39921 | PA      | $40974.95     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406MYP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8209 | PA      | $8334.01      | 0.00%             | 2035-03-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407DTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2073 | PA      | $2118.33      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3131YBXS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287210 | PA      | $279118.35    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-29499.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Henley Funding Ltd.                                                              | Henley CLO VII DAC                                                               | CUSIP: 000000000<br>LEI: 635400SRJSVJPTMR4D89 | Long             | ABS-CBDO         | CORP              | IE        |    6300000 | PA      | $7416643.85   | 0.21%             | 2034-04-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2900000 | PA      | $2914498.99   | 0.08%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2541300 | PA      | $2455489.14   | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371FB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.90         | 0.00%             | 2025-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                                  | Lehman XS Trust Series 2007-4N                                                   | CUSIP: 52524HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8454475 | PA      | $7186496.89   | 0.20%             | 2047-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376R6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3726726 | PA      | $3785513.98   | 0.11%             | 2067-09-20      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1871.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7920000 | PA      | $2424761.26   | 0.07%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC Energy Group Inc                                                             | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    1711000 | PA      | $1497395.08   | 0.04%             | 2030-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407PFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49511 | PA      | $51098.03     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312929LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2193 | PA      | $2239.85      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415VYQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16299 | PA      | $16661.93     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9MPA6 PIMCO SWAPTION 3.933 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-1695.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14400000 | PA      | $12890250.00  | 0.36%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10424403 | PA      | $8892912.08   | 0.25%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 AA PTT                                                           | American Airlines 2015-2 Class AA Pass Through Trust                             | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     860422 | PA      | $837098.83    | 0.02%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                                         | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   26693062 | PA      | $31906895.56  | 0.90%             | 2028-05-15      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |          1 | NC      | $385.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9116 | PA      | $8861.57      | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | KR        |          1 | NC      | $6145.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L16J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1785 | PA      | $1821.90      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  149000000 | PA      | $128905940.46 | 3.62%             | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9HMA0 PIMCO SWAPTION 4.019 PUT USD 2025070                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2800000 | NC      | $-37.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1174375.00   | 0.03%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR Properties                                                                   | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    2500000 | PA      | $2380405.80   | 0.07%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    4900000 | OU      | $80551.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   10500000 | PA      | $10135918.07  | 0.28%             | 2027-10-13      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    5900000 | PA      | $6265739.23   | 0.18%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-214062.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M44E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3187 | PA      | $3286.32      | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31384WFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66574 | PA      | $66934.17     | 0.00%             | 2031-02-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    6500000 | PA      | $6496103.19   | 0.18%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9MOA7 PIMCO SWAPTION 3.605 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-11146.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        109 | NC      | $601034.17    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U8R0A3 PIMCO SWAPTION 3.45 CALL USD 2025071                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  280300000 | NC      | $12703.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5PM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11381 | PA      | $11759.43     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    1400000 | OU      | $-11122.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBG3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    5100000 | PA      | $5126160.40   | 0.14%             | 2026-01-09      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                        | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26294 | PA      | $25122.89     | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410K2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10377 | PA      | $10642.32     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $6182.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36206GNM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.41        | 0.00%             | 2026-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33100000 | PA      | $31678619.14  | 0.89%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $3484.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410MQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2388 | PA      | $2455.14      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YCQJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     594985 | PA      | $558531.99    | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                                                            | CDX ITRAXX XOV42 5Y 35-100% SP BPS                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |   14372447 | OU      | $3093976.41   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-297.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81111 | PA      | $73098.55     | 0.00%             | 2035-12-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3400000 | PA      | $2579617.20   | 0.07%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415PZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7261 | PA      | $7440.48      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7N33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11403 | PA      | $11341.02     | 0.00%             | 2030-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29786459 | PA      | $29779644.45  | 0.84%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413Y7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10991 | PA      | $11522.06     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2846 | PA      | $2893.37      | 0.00%             | 2031-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432000 | PA      | $443925.20    | 0.01%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-36885.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | AES CORPORATION SNR S* ICE                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3800000 | OU      | $511719.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39000000 | PA      | $29842617.09  | 0.84%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    6300000 | PA      | $6569336.15   | 0.18%             | 2028-05-04      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JPN BANK FOR INT'L COOP                                                          | Japan Bank for International Cooperation                                         | CUSIP: 471048BM9<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | NUSS              | JP        |   11200000 | PA      | $10968303.92  | 0.31%             | 2027-07-21      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | Bank of America NA                                                               | CUSIP: 06428CAB0<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7144755.92   | 0.20%             | 2026-08-18      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                                                            | COLOMBIA LA SP BPS                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |    2400000 | OU      | $-7483.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U8R1A2 PIMCO SWAPTION 3.515 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -33400000 | NC      | $-54292.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2475 | PA      | $2476.80      | 0.00%             | 2030-04-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Arbour CLO                                                                       | Arbour CLO DAC                                                                   | CUSIP: 000000000<br>LEI: 549300YXBWG4ECHKDX72 | Long             | ABS-CBDO         | CORP              | IE        |    5500000 | PA      | $6484598.30   | 0.18%             | 2038-05-15      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2400000 | PA      | $2368560.00   | 0.07%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Castlelake LP                                                                    | Castlelake LP First Lien Term Loan                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5523322 | PA      | $5217340.90   | 0.15%             | 2031-05-13      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7091544 | PA      | $7099804.61   | 0.20%             | 2073-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4481298 | PA      | $4465723.02   | 0.13%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                           | Banc of America Alternative Loan Trust 2006-8                                    | CUSIP: 06050AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300442 | PA      | $277689.62    | 0.01%             | 2046-11-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9IFA6 PIMCO SWAPTION 3.68 CALL USD 2025070                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1400000 | NC      | $-5128.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2423 | PA      | $2423.90      | 0.00%             | 2029-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8600000 | PA      | $7002120.86   | 0.20%             | 2054-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2004-FFH3                                     | CUSIP: 32027NLS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2303561 | PA      | $2272146.29   | 0.06%             | 2034-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411CKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23808 | PA      | $24621.49     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3557677 | PA      | $3616255.22   | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8170 | PA      | $8254.16      | 0.00%             | 2031-09-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                              | Virgin Money UK PLC                                                              | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $680596.91    | 0.02%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2277 | PA      | $2266.40      | 0.00%             | 2030-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                   | Long Beach Mortgage Loan Trust 2006-4                                            | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26623654 | PA      | $7712209.58   | 0.22%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404BR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9957 | PA      | $9987.06      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2044584 | PA      | $2044967.50   | 0.06%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                               | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52404 | PA      | $47658.24     | 0.00%             | 2033-08-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L9WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6430 | PA      | $6599.52      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.                                               | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3               | CUSIP: 16678RBU0<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |       6066 | PA      | $5855.39      | 0.00%             | 2035-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TW        |          1 | NC      | $48170.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8GS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        676 | PA      | $694.40       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9EOA5 PIMCO SWAPTION 4.101 PUT USD 2025063                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2600000 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404KFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27959 | PA      | $28276.60     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                   | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1046884.82   | 0.03%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                                                   | REVERSE REPO DEUTSCHE                                                            | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Short            | RA               | CORP              | US        |   -2465625 | PA      | $-2465625.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A9VH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172539 | PA      | $169717.98    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                                                   | ICG US Clo 2021-3 Ltd                                                            | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2590450.20   | 0.07%             | 2034-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128QLPH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46234 | PA      | $47762.78     | 0.00%             | 2035-08-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385W2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1939 | PA      | $2014.58      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9EHA3 PIMCO SWAPTION 3.735 CALL USD 202506                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -3700000 | NC      | $-14506.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U8RKA1 PIMCO SWAPTION 3.5 CALL USD 20250721                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  200500000 | NC      | $21906.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    1200000 | PA      | $1251930.32   | 0.04%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | JP        |          1 | NC      | $43332.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                              | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   14700000 | PA      | $13486084.44  | 0.38%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN  AUG25P 108.5 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -54 | NC      | $-1687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M66J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9273 | PA      | $9525.29      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CNY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $76.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERAT RABOBANK UA/NY                                                          | Cooperatieve Rabobank UA/NY                                                      | CUSIP: 21688AAW2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8400000 | PA      | $8404169.93   | 0.24%             | 2025-07-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | COLOMBIA LA SP JPM                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    1300000 | OU      | $-4053.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | Toronto-Dominion Bank/The                                                        | CUSIP: 891160TD5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1100000 | PA      | $1105261.08   | 0.03%             | 2026-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    3500000 | PA      | $3553054.89   | 0.10%             | 2027-08-07      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities I Trust 2005-FR1                            | CUSIP: 073879G69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1015230 | PA      | $992361.76    | 0.03%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NWTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $1305918.74   | 0.04%             | 2029-11-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NatWest Markets PLC                                                              | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   10000000 | PA      | $10111720.90  | 0.28%             | 2028-03-21      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-12506.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617AYBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17050 | PA      | $16827.08     | 0.00%             | 2047-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                                                | Ares European CLO X DAC                                                          | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |    5441951 | PA      | $6400515.73   | 0.18%             | 2031-10-15      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.89900 03/11/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     580000 | OU      | $-10750.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416JPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26137 | PA      | $26556.24     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85228 | PA      | $83853.78     | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9003 | PA      | $9235.52      | 0.00%             | 2035-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | Danske Bank A/S                                                                  | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   12000000 | PA      | $11957471.16  | 0.34%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M53F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23779 | PA      | $24513.78     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KQB96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        288 | PA      | $297.50       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                             | Enel Finance International NV                                                    | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    7800000 | PA      | $7945199.81   | 0.22%             | 2029-06-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349UCW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7802 | PA      | $7982.36      | 0.00%             | 2034-10-01      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4AH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57632 | PA      | $59528.76     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                     | AES Corp/The                                                                     | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4371215.80   | 0.12%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                                                | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        182 | PA      | $178.09       | 0.00%             | 2032-01-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                                           | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4      | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3349019 | PA      | $2699179.44   | 0.08%             | 2036-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52004 | PA      | $52365.10     | 0.00%             | 2034-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408GFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1922.37      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JMZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6505 | PA      | $6658.83      | 0.00%             | 2034-11-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                                                        | Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2           | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1650625 | PA      | $1630767.21   | 0.05%             | 2034-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $1543.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32383 | PA      | $33420.75     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5858 | PA      | $5811.38      | 0.00%             | 2029-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8295562.72   | 0.23%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDZ6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2117220.13   | 0.06%             | 2028-01-23      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $17482.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4100000 | PA      | $1968949.15   | 0.06%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | RFR USD SOFR/1.75000 12/21/22-30Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   62900000 | OU      | $23178960.05  | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X9NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138115 | PA      | $132966.78    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $323366.84    | 0.01%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6365094.06   | 0.18%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                            | Province of Ontario Canada                                                       | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    6100000 | PA      | $4476663.12   | 0.13%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                         | Republic of South Africa Government International Bond                           | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3000000 | PA      | $2976412.95   | 0.08%             | 2036-11-19      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132AEG67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267575 | PA      | $262910.60    | 0.01%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.46000 03/13/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1800000 | OU      | $-24095.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680CQ4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1940527.89   | 0.05%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1297 | PA      | $1299.61      | 0.00%             | 2029-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1721806 | PA      | $1688720.22   | 0.05%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407MZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4503 | PA      | $4647.51      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7771279.21   | 0.22%             | 2027-04-23      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                   | Long Beach Mortgage Loan Trust 2005-WL2                                          | CUSIP: 542514ND2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5512458 | PA      | $5420737.01   | 0.15%             | 2035-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4532136 | PA      | $3587603.33   | 0.10%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402YEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        417 | PA      | $421.89       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | Air Lease Corp                                                                   | CUSIP: 00914AAW2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5033217.80   | 0.14%             | 2026-06-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -12 | NC      | $-1978.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LOGICOR FINANCING SARL                                                           | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    4500000 | PA      | $5170551.86   | 0.15%             | 2027-07-15      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10600000 | PA      | $7413032.30   | 0.21%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                             | ACE Securities Corp Home Equity Loan Trust Series 2006-FM1                       | CUSIP: 00441VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7509204 | PA      | $2487554.38   | 0.07%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                                                   | DEUTSCHE BANK REPO                                                               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |     100000 | PA      | $100000.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Stepstone Group Midco 2 GMBH/ The                                                | Stepstone Group Midco 2 GMBH/ The USD Term Loan B                                | CUSIP: 000000000<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | DE        |     900000 | PA      | $894375.00    | 0.03%             | 2031-12-19      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62339 | PA      | $61348.60     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                         | Mars Inc                                                                         | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7497679.48   | 0.21%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416VB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6869 | PA      | $6969.89      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20594703 | PA      | $1190956.65   | 0.03%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1810 | PA      | $1795.77      | 0.00%             | 2034-09-01      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3413098.06   | 0.10%             | 2028-07-22      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-130225.36   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326096 | PA      | $334565.18    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3200000 | OU      | $-43733.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $130150.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                                  | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9491444 | PA      | $9505444.31   | 0.27%             | 2039-06-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5                   | CUSIP: 59025RAV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8299285 | PA      | $7055807.95   | 0.20%             | 2037-10-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                         | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5028807.65   | 0.14%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D54A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24360 | PA      | $23673.62     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $57926.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45257 | PA      | $45765.52     | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2020071.68   | 0.06%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2006-HYB5                                        | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1003274 | PA      | $887281.45    | 0.02%             | 2036-09-20      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-221932.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3675 | PA      | $3813.22      | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21100000 | PA      | $15146667.92  | 0.43%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KREF 2022-Fl3 Ltd                                                                | KREF 2022-FL3 Ltd                                                                | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    9601726 | PA      | $9598691.77   | 0.27%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $14904.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                                                          | Sun Communities Operating LP                                                     | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |   13200000 | PA      | $11698208.54  | 0.33%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                                                           | Daimler Truck Finance North America LLC                                          | CUSIP: 233853AX8<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8108662.79   | 0.23%             | 2027-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349UJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22218 | PA      | $22959.36     | 0.00%             | 2035-01-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | 31750QM06 PIMCO CDSOPT PUT USD 0.9 20250716                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |  -11700000 | NC      | $-793.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312929FV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     877503 | PA      | $902095.08    | 0.03%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6963 | PA      | $6990.33      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                 | MASTR Asset Securitization Trust 2006-2                                          | CUSIP: 55274QAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150349 | PA      | $82385.41     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6672327 | PA      | $6620319.04   | 0.19%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24382485 | PA      | $17793380.54  | 0.50%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | Blue Owl Finance LLC                                                             | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $11543370.80  | 0.32%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57683 | PA      | $56057.34     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | Bayer US Finance LLC                                                             | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $7332647.60   | 0.21%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-11161.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DY2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6700000 | PA      | $6760363.85   | 0.19%             | 2027-08-14      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-J8                                                   | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7446721 | PA      | $2903954.69   | 0.08%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31336R7E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23539 | PA      | $23937.37     | 0.00%             | 2032-08-01      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2005-7                     | CUSIP: 863579PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1068197 | PA      | $980550.79    | 0.03%             | 2035-04-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        174 | PA      | $174.48       | 0.00%             | 2028-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     800000 | PA      | $580237.74    | 0.02%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.2914 05/08/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   85700000 | OU      | $131582.53    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAP6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $2019469.53   | 0.06%             | 2028-10-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2934247.85   | 0.08%             | 2030-05-04      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  299000000 | PA      | $17526405.92  | 0.49%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382778 | PA      | $394729.16    | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2023-CCDC                   | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $6168272.74   | 0.17%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5202438.25   | 0.15%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                           | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     381941 | PA      | $394246.15    | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9O7A2 PIMCO SWAPTION 3.525 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-8022.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                         | Pioneer Natural Resources Co                                                     | CUSIP: 723787AV9<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4019100.92   | 0.11%             | 2026-03-29      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        384 | PA      | $394.27       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   58400000 | PA      | $17010211.44  | 0.48%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                     | ING Groep NV                                                                     | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1100000 | PA      | $1094819.70   | 0.03%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                                           | Mondelez International Inc                                                       | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   10700000 | PA      | $8133650.08   | 0.23%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Home Lending Mortgage Trust 2023-RPL3                                      | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6437260 | PA      | $5759479.59   | 0.16%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2674919.96   | 0.08%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ADRY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120535 | PA      | $118581.06    | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5400000 | OU      | $-76384.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4300 | PA      | $4480.25      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                         | Mill City Mortgage Loan Trust 2019-GS2                                           | CUSIP: 59981TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8400000 | PA      | $7503153.00   | 0.21%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4880114.50   | 0.14%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    5675000 | PA      | $5667544.24   | 0.16%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank PLC                                                                  | Lloyds Bank PLC                                                                  | CUSIP: 000000000<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |   12200000 | PA      | $8819160.40   | 0.25%             | 2032-04-02      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AGKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1265 | PA      | $1258.26      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |    1816000 | OU      | $5078.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                      | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |   13300000 | PA      | $13175329.79  | 0.37%             | 2027-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417BEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18418 | PA      | $18125.56     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286021 | PA      | $280392.36    | 0.01%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                          | American Electric Power Co Inc                                                   | CUSIP: 025537AY7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1743418.34   | 0.05%             | 2029-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6954436.38   | 0.20%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                      | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12008188 | PA      | $12011940.93  | 0.34%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13000000 | PA      | $11883895.40  | 0.33%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408DRS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48565 | PA      | $50121.87     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                                   | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1878168 | PA      | $708734.81    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277208 | PA      | $288112.26    | 0.01%             | 2034-11-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| UDR Inc                                                                          | UDR Inc                                                                          | CUSIP: 90265EAM2<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    1000000 | PA      | $986133.39    | 0.03%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACU9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4572113.85   | 0.13%             | 2029-01-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408EXX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $273.89       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YU54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        984 | PA      | $980.54       | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7964698.95   | 0.22%             | 2028-05-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                                          | Hyundai Auto Lease Securitization Trust 2024-A                                   | CUSIP: 448988AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1303553.03   | 0.04%             | 2027-03-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NCBW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4901 | PA      | $4987.79      | 0.00%             | 2035-02-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1002181 | PA      | $942928.26    | 0.03%             | 2036-01-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-340372.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     900000 | PA      | $882597.65    | 0.02%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411YCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13494 | PA      | $13870.06     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $5845.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $14013.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                                        | First Horizon Mortgage Pass-Through Trust 2005-AR3                               | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53428 | PA      | $38208.52     | 0.00%             | 2035-08-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246473 | PA      | $253761.58    | 0.01%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M46E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2594 | PA      | $2672.33      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2382150 | PA      | $2331349.80   | 0.07%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        559 | PA      | $565.67       | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                                           | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    5500000 | PA      | $5479053.58   | 0.15%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        238 | NC      | $191206.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2020-CNP                                          | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $6541300.50   | 0.18%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $10104663.44  | 0.28%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5388843.01   | 0.15%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                                      | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $6920223.75   | 0.19%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31381BDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $411.73       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-229211.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36291GAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1860 | PA      | $1882.10      | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85445 | PA      | $87676.38     | 0.00%             | 2035-08-01      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CHD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     850854 | PA      | $865462.50    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29568720 | PA      | $16093098.45  | 0.45%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334KS9<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5271459.02   | 0.15%             | 2028-05-16      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312928XM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16295 | PA      | $16678.95     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RQ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255302 | PA      | $256342.33    | 0.01%             | 2066-06-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ASRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143140 | PA      | $140093.57    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7167 | PA      | $7513.69      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M06E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85986 | PA      | $83614.35     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407CFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8781 | PA      | $8996.06      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413D2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7329 | PA      | $7682.93      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 A PTT                                                          | United Airlines 2016-1 Class A Pass Through Trust                                | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1752349 | PA      | $1674345.68   | 0.05%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                             | Cantor Fitzgerald LP                                                             | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3503030.95   | 0.10%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                                                         | MassMutual Global Funding II                                                     | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3826082.71   | 0.11%             | 2026-07-10      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137HHBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5289194 | PA      | $5250793.96   | 0.15%             | 2054-05-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                                               | Ready Capital Mortgage Financing 2021-FL7 LLC                                    | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2353056 | PA      | $2353140.23   | 0.07%             | 2036-11-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                                               | Pacific Life Global Funding II                                                   | CUSIP: 6944PL2U2<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5692601.81   | 0.16%             | 2028-07-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296QY37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     627723 | PA      | $636024.33    | 0.02%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31400QJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1119.91      | 0.00%             | 2033-03-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                                     | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2761335 | PA      | $2680326.68   | 0.08%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                  | Weyerhaeuser Co                                                                  | CUSIP: 962166CC6<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |   12000000 | PA      | $12023569.20  | 0.34%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CJ56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1231 | PA      | $1230.21      | 0.00%             | 2029-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2998 | PA      | $2997.35      | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6653014.24   | 0.19%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4K69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $159.54       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.50000 06/20/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   63100000 | OU      | $4604804.53   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398339 | PA      | $391393.37    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QESP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231064 | PA      | $221058.67    | 0.01%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CY83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11725 | PA      | $11861.48     | 0.00%             | 2033-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   58300000 | OU      | $-410117.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-307406.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $4343.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2526663 | PA      | $1144677.21   | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1423629 | PA      | $1338963.72   | 0.04%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406PD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48512 | PA      | $50258.46     | 0.00%             | 2035-05-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                                                     | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     997341 | PA      | $1035491.43   | 0.03%             | 2037-03-26      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    5050000 | PA      | $5064275.04   | 0.14%             | 2027-05-21      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-91452.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31409HAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18802 | PA      | $19650.09     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5154960.38  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US Capital LLC                                                               | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7383730.93   | 0.21%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7390462.17   | 0.21%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1905062.27   | 0.05%             | 2027-01-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $10527.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4V42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38732 | PA      | $39943.74     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18800 | PA      | $19708.64     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6E87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39514 | PA      | $40541.06     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24200 | PA      | $24753.17     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN  AUG25P 109 EXP 07/25/2025                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -50 | NC      | $-1562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $5922.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KNKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2304 | PA      | $2371.93      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $5190186.58   | 0.15%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416831 | PA      | $436964.39    | 0.01%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust                    | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2639222 | PA      | $2316096.82   | 0.07%             | 2037-06-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.93000 03/24/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5700000 | OU      | $-119663.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  173300000 | PA      | $9149846.10   | 0.26%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9IEA7 PIMCO SWAPTION 4.03 PUT USD 20250707                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1400000 | NC      | $-14.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        909 | PA      | $938.54       | 0.00%             | 2034-04-01      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO Ltd.                                                            | Marble Point CLO XIV Ltd                                                         | CUSIP: 56608KAW3<br>LEI: 254900N4UCG37B1HFL93 | Long             | ABS-CBDO         | CORP              | KY        |    6611086 | PA      | $6604369.13   | 0.19%             | 2032-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                              | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    5600000 | PA      | $5375771.52   | 0.15%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2118 | PA      | $2185.39      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                        | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12032 | PA      | $11927.94     | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1590 | PA      | $1604.47      | 0.00%             | 2034-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-7893.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | Expedia Group Inc                                                                | CUSIP: 30212PBH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2561000 | PA      | $2334189.54   | 0.07%             | 2031-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AU62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23320 | PA      | $24371.36     | 0.00%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Romark Credit Funding Ltd                                                        | Romark Credit Funding III Ltd                                                    | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5709912.30   | 0.16%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36292DP48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1121 | PA      | $1134.67      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JMY68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1937 | PA      | $1964.17      | 0.00%             | 2034-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $217305.68    | 0.01%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402GP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11707 | PA      | $11647.23     | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296SRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        607 | PA      | $615.14       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52485 | PA      | $53870.60     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                   | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |   15200000 | PA      | $18267602.12  | 0.51%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $426.83       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $1032.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1800000 | PA      | $1817607.80   | 0.05%             | 2029-07-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        455 | PA      | $470.00       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                                   | Securitized Asset Backed Receivables LLC Trust 2006-FR2                          | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12915748 | PA      | $8035686.53   | 0.23%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D54W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98587 | PA      | $95626.15     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | 31750QN05 PIMCO CDSOPT PUT USD 0.85 20250716                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |   -5900000 | NC      | $-423.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7C95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75877 | PA      | $78034.35     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-54.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407UEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        741 | PA      | $752.23       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $34470.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KMNX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3857 | PA      | $3980.07      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $6265.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     834899 | PA      | $834519.00    | 0.02%             | 2065-08-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                       | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   10775000 | PA      | $10853878.28  | 0.31%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | Athene Global Funding                                                            | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7892224.86   | 0.22%             | 2027-01-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                                 | Asset Backed Securities Corp Home Equity Loan Trust Series AMQ 2007-HE2          | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16562 | PA      | $11695.72     | 0.00%             | 2037-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2007-14T2                                                 | CUSIP: 02150BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3787109 | PA      | $1933643.12   | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1991.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69411 | PA      | $68266.92     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3191597.57   | 0.09%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 31395CEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1908 | PA      | $1899.77      | 0.00%             | 2034-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     754004 | PA      | $559344.36    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    4700000 | PA      | $4844871.44   | 0.14%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CDH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2918 | PA      | $2911.39      | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5067626 | PA      | $5118114.21   | 0.14%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406PQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8370 | PA      | $8624.84      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132AD4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65474 | PA      | $64357.82     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20800000 | OU      | $-186236.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $275672.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360111 | PA      | $346444.96    | 0.01%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XZBR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16133 | PA      | $15888.52     | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.25000 06/18/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25400000 | OU      | $2957243.26   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295MNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11022 | PA      | $11040.23     | 0.00%             | 2029-01-01      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $9979.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                                                  | Bayview MSR Opportunity Master Fund Trust 2021-INV5                              | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10411483 | PA      | $8855861.35   | 0.25%             | 2051-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BOBL OPTION  AUG25P 117.2 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -19 | NC      | $-4028.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1218 | PA      | $1216.43      | 0.00%             | 2032-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39700000 | PA      | $36088630.35  | 1.01%             | 2054-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                                               | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     702796 | PA      | $580824.52    | 0.02%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25316 | PA      | $24572.50     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2006-OA5                                         | CUSIP: 126694M62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1065545 | PA      | $960990.98    | 0.03%             | 2046-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  317850000 | PA      | $274935256.58 | 7.73%             | 2055-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121087 | PA      | $122316.93    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412LGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5085 | PA      | $5347.54      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9GFA0 PIMCO SWAPTION 3.725 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2800000 | NC      | $-12279.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JGYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374769 | PA      | $368700.53    | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |      81760 | PA      | $73568.33     | 0.00%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YTV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24422 | PA      | $24254.64     | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-6.31        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                                                            | American Homes 4 Rent LP                                                         | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    1900000 | PA      | $1888575.53   | 0.05%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9O6A3 PIMCO SWAPTION 3.875 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-6593.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16385 | PA      | $16491.66     | 0.00%             | 2027-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10118632 | PA      | $8238782.39   | 0.23%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7662873.15   | 0.22%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13300000 | PA      | $9649065.55   | 0.27%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 31392CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        344 | PA      | $345.20       | 0.00%             | 2032-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $63.05        | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AXL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115732 | PA      | $121329.16    | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407M2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513332 | PA      | $529568.01    | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6340 | PA      | $6543.48      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406AV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219655 | PA      | $222260.66    | 0.01%             | 2034-12-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3431009 | PA      | $3415370.45   | 0.10%             | 2031-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1674192 | PA      | $1243908.43   | 0.03%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.25000 06/18/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   45500000 | OU      | $352329.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410LET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4348 | PA      | $4451.71      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                                                        | NovaStar Mortgage Funding Trust Series 2007-2                                    | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1998501 | PA      | $1964322.08   | 0.06%             | 2037-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                                               | STWD 2022-FL3 Ltd                                                                | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9764679 | PA      | $9739759.30   | 0.27%             | 2038-11-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                                                         | MassMutual Global Funding II                                                     | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8058557.82   | 0.23%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417QNC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4908 | PA      | $4969.23      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411AR80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        687 | PA      | $699.96       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    3200000 | OU      | $-9978.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8023 | PA      | $8289.97      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $15858.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                                                   | DEUTSCHE BANK REPO                                                               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |   37600000 | PA      | $37600000.00  | 1.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 317U9MJA3 PIMCO SWAPTION 4.05 PUT USD 20250721                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-943.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42668 | PA      | $43810.59     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410X6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17609 | PA      | $18245.49     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust                    | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17541 | PA      | $16358.24     | 0.00%             | 2042-06-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1221584 | PA      | $624404.31    | 0.02%             | 2036-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-1728.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8157205.20   | 0.23%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9L4A1 PIMCO SWAPTION 3.6525 CALL USD 20250                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-10882.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312935LP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8962 | PA      | $9234.79      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3937137 | PA      | $3879248.32   | 0.11%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 86765BAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1802991.98   | 0.05%             | 2025-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                                | ABFC 2005-OPT1 Trust                                                             | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4190483 | PA      | $3953068.59   | 0.11%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    7000000 | PA      | $7273497.42   | 0.20%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2572106 | PA      | $1948212.62   | 0.05%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2247517.73  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407CC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14751 | PA      | $14724.34     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-276016.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20285015 | PA      | $20624995.87  | 0.58%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   43550000 | OU      | $-1503131.41  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        148 | NC      | $456570.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9HNA9 PIMCO SWAPTION 3.669 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2800000 | NC      | $-9098.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     900000 | PA      | $909134.10    | 0.03%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3073998.54   | 0.09%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14710 | PA      | $14758.94     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406XZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $348.42       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3000000 | PA      | $2218710.93   | 0.06%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | IL        |          1 | NC      | $3075.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31382F2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.82         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KQRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19419 | PA      | $19784.39     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31401AME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11897 | PA      | $12158.54     | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5420876 | PA      | $5228733.89   | 0.15%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | Welltower OP LLC                                                                 | CUSIP: 95040QAC8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    1102000 | PA      | $1098956.72   | 0.03%             | 2026-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $10206.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408JB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5351 | PA      | $5486.42      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9GEA1 PIMCO SWAPTION 4.075 PUT USD 2025070                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2800000 | NC      | $-0.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A2XZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213796 | PA      | $216471.63    | 0.01%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO                                                              | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |    8200000 | PA      | $8224796.80   | 0.23%             | 2037-01-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9711 | PA      | $10016.35     | 0.00%             | 2034-11-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CNY                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $68.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.00000 03/19/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13400000 | OU      | $-28575.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9MQA5 PIMCO SWAPTION 3.583 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-5013.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407FPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1280 | PA      | $1320.86      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                                                 | Marathon CLO XIII Ltd                                                            | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6418658 | PA      | $6418728.62   | 0.18%             | 2032-04-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $1799.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP Paribas SA                                                                   | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   12500000 | PA      | $11120321.25  | 0.31%             | 2031-02-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1260 | PA      | $1250.33      | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2022-B35 Mortgage Trust                                                | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $10602952.80  | 0.30%             | 2055-05-15      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17000000 | PA      | $16511250.00  | 0.46%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | BARCLAYS BANK PLC SNR SE ICE                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    9300000 | OU      | $39218.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7588557.48   | 0.21%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202KYM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        248 | PA      | $247.24       | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404HTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $357.40       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.3537 05/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   10300000 | OU      | $12686.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SG        |          1 | NC      | $9413.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1186474 | PA      | $1177742.32   | 0.03%             | 2042-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18500000 | PA      | $11605136.77  | 0.33%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LAFY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11928 | PA      | $12286.53     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FNHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22620 | PA      | $22262.15     | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   69700000 | PA      | $68266369.28  | 1.92%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    9200000 | PA      | $9446717.41   | 0.27%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X7XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64491 | PA      | $63278.58     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499518.85    | 0.01%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $7967520.12   | 0.22%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $188.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                                | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5953605.03   | 0.17%             | 2029-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    8600000 | PA      | $9172944.04   | 0.26%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31380YAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4523 | PA      | $4601.33      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ZA        |          1 | NC      | $17251.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38145GAM2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4906803.11   | 0.14%             | 2026-08-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $32467.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust 2005-S3                                                 | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182325 | PA      | $77773.44     | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                                                  | DC Office Trust 2019-MTC                                                         | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $910338.90    | 0.03%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-2                                     | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1174275 | PA      | $1138499.79   | 0.03%             | 2047-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292HS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $299.15       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U8RLA0 PIMCO SWAPTION 3.489 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -23900000 | NC      | $-41673.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                                                | Japan Government Forty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  724000000 | PA      | $4042042.15   | 0.11%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $85479.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-219511.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | 317U9ELA8 PIMCO SWAPTION 2.1 CALL EUR 20250630                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1800000 | NC      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7248 | PA      | $7195.24      | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M54E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11578 | PA      | $11911.44     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds                                | Republic of Poland Government International Bonds                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    3900000 | PA      | $3914594.78   | 0.11%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L8VF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6612 | PA      | $6694.20      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                                          | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8788205 | PA      | $7374647.84   | 0.21%             | 2046-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC                                                               | HARBOUR ENERGY PLC                                                               | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3678263.61   | 0.10%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $5122413.06   | 0.14%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $16024.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5143728 | PA      | $2802240.83   | 0.08%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                                     | Wells Fargo Mortgage Backed Securities 2003-I Trust                              | CUSIP: 949802AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40124 | PA      | $39356.27     | 0.00%             | 2033-09-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JJMK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147621 | PA      | $144271.45    | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority                                             | TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED                                      | CUSIP: 88880LAH6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2250000 | PA      | $2196226.13   | 0.06%             | 2026-06-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                     | Saxon Asset Securities Trust 2007-3                                              | CUSIP: 80557BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1472446 | PA      | $1367397.04   | 0.04%             | 2047-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414L2H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68339 | PA      | $70364.82     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | CDX ITRAXX XOV42 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |   24118147 | OU      | $5191946.72   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                      | CUSIP: 000000000<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    1760000 | PA      | $2165470.97   | 0.06%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | Prologis LP                                                                      | CUSIP: 74340XCB5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |    6200000 | PA      | $5374500.07   | 0.15%             | 2032-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        537 | PA      | $540.16       | 0.00%             | 2030-10-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                                   | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3259408 | PA      | $3108465.62   | 0.09%             | 2047-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                                | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11259 | PA      | $10260.72     | 0.00%             | 2045-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        872 | PA      | $883.71       | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4407 | PA      | $4430.27      | 0.00%             | 2036-01-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7147588.48   | 0.20%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     174730 | PA      | $176024.77    | 0.00%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15300000 | OU      | $-306422.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD DKK                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-46379.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155759 | PA      | $160753.41    | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28527 | PA      | $29280.10     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128QLPD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103343 | PA      | $106710.12    | 0.00%             | 2035-06-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                                    | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609692 | PA      | $56264.30     | 0.00%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-301636.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1555 | PA      | $1550.66      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $214938.85    | 0.01%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-28149.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1200000 | OU      | $21266.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4300000 | OU      | $-12348.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13000000 | PA      | $12654183.10  | 0.36%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $4583.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407UK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38798 | PA      | $39796.67     | 0.00%             | 2035-10-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $10287.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.00000 01/08/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3300000 | OU      | $-19013.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust 2025-1                                    | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6982566 | PA      | $6995178.71   | 0.20%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-3893.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $603.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3944.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U8D2A2 PIMCO SWAPTION 3.7 CALL USD 20250813                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   51000000 | NC      | $53392.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U8COA0 PIMCO SWAPTION 3.65 CALL USD 2025081                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  274300000 | NC      | $227106.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $191.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                                          | SG Commercial Mortgage Securities Trust 2020-COVE                                | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $6626796.36   | 0.19%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $461261.89    | 0.01%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                                      | MF1 2022-FL10 LLC                                                                | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8498389 | PA      | $8501660.87   | 0.24%             | 2037-09-17      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2064 | PA      | $2062.77      | 0.00%             | 2030-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.50000 12/18/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9200000 | OU      | $670475.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    7800000 | PA      | $7925451.38   | 0.22%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-1CB                                                  | CUSIP: 12667F2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5990774 | PA      | $4744163.36   | 0.13%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                           | Alliant Energy Finance LLC                                                       | CUSIP: 01882YAE6<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3987007.73   | 0.11%             | 2029-03-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GR2<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6907346.78   | 0.19%             | 2026-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417FBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35861 | PA      | $36465.68     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4957585 | PA      | $5010696.10   | 0.14%             | 2072-12-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-15                                    | CUSIP: 12666UAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     429255 | PA      | $437955.51    | 0.01%             | 2046-10-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                                                           | British Airways 2018-1 Class A Pass Through Trust                                | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     991991 | PA      | $948589.12    | 0.03%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3050000 | PA      | $3602226.94   | 0.10%             | 2031-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12620 | PA      | $12416.61     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86932 | PA      | $89502.74     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M43N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        427 | PA      | $437.18       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5GF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2685 | PA      | $2767.62      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                                 | GoodLeap Sustainable Home Solutions Trust 2022-2                                 | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9096516 | PA      | $7926007.43   | 0.22%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                                                        | Sunrun Demeter Issuer 2021-2 LLC                                                 | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11036657 | PA      | $9766118.94   | 0.27%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14500000 | PA      | $11993652.38  | 0.34%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6856.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.35000 04/29/25-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2400000 | OU      | $-12203.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3600000.00   | 0.10%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400048 | PA      | $371922.49    | 0.01%             | 2037-03-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $105474.93    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406AWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1676 | PA      | $1723.74      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     734245 | PA      | $445706.55    | 0.01%             | 2036-04-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869657 | PA      | $903262.93    | 0.03%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385HJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7281 | PA      | $7219.69      | 0.00%             | 2036-12-01      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411XMB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10817 | PA      | $11156.39     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288JQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.87        | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412EAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4073 | PA      | $4211.46      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47534 | PA      | $47942.98     | 0.00%             | 2044-10-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179215 | PA      | $177019.52    | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3880026.59   | 0.11%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5255631 | PA      | $5259178.22   | 0.15%             | 2073-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                      | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    4400000 | PA      | $4652990.78   | 0.13%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-9577.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1556 | PA      | $1584.20      | 0.00%             | 2033-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $19643.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106730 | PA      | $108403.61    | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |          1 | NC      | $5001.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NO        |          1 | NC      | $356.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YFGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6417315 | PA      | $6312534.25   | 0.18%             | 2052-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust 2006-AR15                                       | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1748469 | PA      | $1707157.26   | 0.05%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |          1 | NC      | $13905.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | SOFTBANK GROUP CORP SNR JP SP GST                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    2100000 | OU      | $-9814.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EJE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $33.99        | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 1.00000 05/18/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9200000 | OU      | $-201531.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMware LLC                                                                       | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $13056950.12  | 0.37%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $1600.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $531.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $73902.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-560361.30   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NCBF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4247 | PA      | $4316.78      | 0.00%             | 2035-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407FUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36966 | PA      | $38072.35     | 0.00%             | 2035-08-01      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp                                                                | Hyatt Hotels Corp                                                                | CUSIP: 448579AF9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2700299.21   | 0.08%             | 2026-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                            | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2601657 | PA      | $1796331.33   | 0.05%             | 2036-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3000000 | PA      | $3211917.00   | 0.09%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                         | Hudson Pacific Properties LP                                                     | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    2400000 | PA      | $2156311.68   | 0.06%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402JYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $470.97       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37057 | PA      | $37277.26     | 0.00%             | 2042-08-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED DKK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DK        |          1 | NC      | $6185.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AEPK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5596 | PA      | $5449.18      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7092 | PA      | $7072.64      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     400000 | OU      | $5183.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust                                       | HSI Asset Securitization Corp Trust 2006-HE2                                     | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8166849 | PA      | $1931864.00   | 0.05%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  371313541 | PA      | $370953006.69 | 10.42%            | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412QBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5195 | PA      | $5281.91      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418MYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113796 | PA      | $118435.76    | 0.00%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1285424.50   | 0.04%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297VKR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2281 | PA      | $2314.38      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                                       | FIXED INC CLEARING CORP.REPO                                                     | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   13779016 | PA      | $13779016.37  | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340657 | PA      | $336194.38    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                       | CUSIP: 60687YBL2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    9800000 | PA      | $8573634.86   | 0.24%             | 2031-09-08      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6517 | PA      | $6602.20      | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                              | Mastr Asset Backed Securities Trust 2006-WMC3                                    | CUSIP: 55291KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4512954 | PA      | $1509353.42   | 0.04%             | 2036-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410UF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6991 | PA      | $7154.26      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3657338.24   | 0.10%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                        | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1399627 | PA      | $1391490.74   | 0.04%             | 2049-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        437 | PA      | $437.81       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                  | CSAIL 2016-C7 Commercial Mortgage Trust                                          | CUSIP: 12637UAX7<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |      10413 | PA      | $10393.97     | 0.00%             | 2049-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31409WA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        976 | PA      | $1011.51      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                              | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3965528 | PA      | $3143296.93   | 0.09%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1878.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        156 | PA      | $158.44       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $3861.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66828 | PA      | $66900.29     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KLY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2439 | PA      | $2532.84      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3600 | PA      | $3574.11      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419BWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        179 | PA      | $178.06       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-362698.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314540 | PA      | $297094.06    | 0.01%             | 2036-01-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JNAL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8574 | PA      | $8847.27      | 0.00%             | 2035-02-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | Boston Properties LP                                                             | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              |  | US        |    1811000 | PA      | $1447327.44   | 0.04%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36291AGX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1972 | PA      | $1995.07      | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417MXZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        959 | PA      | $964.60       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M55D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5635 | PA      | $5790.44      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                             | ACE Securities Corp Home Equity Loan Trust Series 2006-OP1                       | CUSIP: 00442PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1172221 | PA      | $1140514.81   | 0.03%             | 2036-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-23277.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21025 | PA      | $21533.99     | 0.00%             | 2035-01-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                                           | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FBA4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    5900000 | PA      | $5989509.61   | 0.17%             | 2026-07-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21000000 | PA      | $21306752.67  | 0.60%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                              | Wells Fargo Bank NA                                                              | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7356916.42   | 0.21%             | 2026-12-11      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16544708 | PA      | $16834485.76  | 0.47%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6178 | PA      | $6343.58      | 0.00%             | 2035-01-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-7698.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L3H58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27407 | PA      | $28101.81     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LN77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51101 | PA      | $51776.41     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617NR7A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384559 | PA      | $379798.76    | 0.01%             | 2050-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 317U9MKA1 PIMCO SWAPTION 3.7 CALL USD 20250721                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-18864.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LJB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8027 | PA      | $8125.72      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                       | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   12500000 | PA      | $12244493.50  | 0.34%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.50000 12/18/24-1Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   35800000 | OU      | $125801.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YD3J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2161172 | PA      | $2019181.09   | 0.06%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                        | Towd Point Mortgage Trust 2022-1                                                 | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4672702 | PA      | $4441608.34   | 0.12%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100583 | PA      | $98815.96     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $5506.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3488 | PA      | $3587.87      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U88WA0 PIMCO SWAPTION 3.7075 CALL USD 20250                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -49200000 | NC      | $-493720.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK NA                                                          | JPMorgan Chase Bank NA                                                           | CUSIP: 48125LRV6<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7763085.25   | 0.22%             | 2026-12-08      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-42281.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2285315 | PA      | $2129416.79   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404LAU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174592 | PA      | $176381.92    | 0.00%             | 2034-05-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 317U9JRA1 PIMCO SWAPTION 4.12 PUT USD 20250709                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-13.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1428695.96  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2791040 | PA      | $2856785.23   | 0.08%             | 2066-09-20      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419FWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32887 | PA      | $32652.32     | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SEN                                                           | Thames Water Super Senior Issuer PLC                                             | CUSIP: 000000000<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       7141 | PA      | $10735.03     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2006-FF14                                     | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16312000 | PA      | $13286543.22  | 0.37%             | 2036-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   63800000 | PA      | $3136208.71   | 0.09%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297DK89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        325 | PA      | $326.12       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.65517 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   63500000 | OU      | $-445966.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $8728.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312930QW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4577 | PA      | $4684.73      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3675 | PA      | $3732.57      | 0.00%             | 2034-10-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408DLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103988 | PA      | $107527.35    | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405JC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69487 | PA      | $71337.91     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | COLOMBIA LA SP JPM                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    3200000 | OU      | $-2344.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406GCS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13205 | PA      | $13390.63     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402GW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        550 | PA      | $557.20       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9LFA9 PIMCO SWAPTION 2.46 CALL EUR 2025071                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1600000 | NC      | $-1474.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371HHR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        420 | PA      | $428.91       | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7946064.90   | 0.22%             | 2028-01-14      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HKL30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44851 | PA      | $43907.76     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $53334.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227596 | PA      | $221184.60    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YTF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $70.34        | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                         | Saudi Government International Bond                                              | CUSIP: 80413TBE8<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    6000000 | PA      | $5102975.46   | 0.14%             | 2053-01-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M66H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15094 | PA      | $15516.86     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-24787.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $663.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-305144.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                          | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |    3656459 | PA      | $3655735.40   | 0.10%             | 2029-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241K4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17639 | PA      | $17872.06     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                         | New York Life Global Funding                                                     | CUSIP: 64953BBK3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7815188.78   | 0.22%             | 2026-01-16      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A8NL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10744 | PA      | $10881.61     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $8155.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18088 | PA      | $18962.97     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                                                      | Ameren Corp                                                                      | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7329855.17   | 0.21%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-6122.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 14.0087 05/12/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8600000 | OU      | $-1999.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  155000000 | PA      | $139501560.85 | 3.92%             | 2054-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.61000 03/24/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $1822.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.66674 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23000000 | OU      | $-168884.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-72454.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23108 | PA      | $23737.10     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -91 | NC      | $109752.77    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO BANK NA                                                              | Wells Fargo Bank NA                                                              | CUSIP: 94988J6D4<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4759916.07   | 0.13%             | 2026-08-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1398301 | PA      | $1327096.17   | 0.04%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334808 | PA      | $18689.54     | 0.00%             | 2035-05-25      | Floating      | 0.57%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44500000 | PA      | $45177485.80  | 1.27%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3400000 | OU      | $42477.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                          | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF2                    | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      26702 | PA      | $26553.90     | 0.00%             | 2037-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2600000 | PA      | $3122010.95   | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12874398.12  | 0.36%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296LQL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        403 | PA      | $412.05       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62351 | PA      | $64072.15     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BZG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2217 | PA      | $2252.62      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407HPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64582 | PA      | $66651.75     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                                  | Venture XXVIII CLO Ltd                                                           | CUSIP: 92331AAU8<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | KY        |    2258329 | PA      | $2258552.75   | 0.06%             | 2030-07-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8124761.72   | 0.23%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4549 | PA      | $4546.48      | 0.00%             | 2030-05-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-1164.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4206523 | PA      | $1692034.72   | 0.05%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LDQQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5551 | PA      | $5679.88      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.32 05/08/25-01/02/29 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7500000 | OU      | $12853.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15183 | PA      | $15664.21     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $60528.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411ENM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1085 | PA      | $1105.12      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                                                          | Corebridge Global Funding                                                        | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2633046.10   | 0.07%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122EF1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7986033.43   | 0.22%             | 2029-02-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197566 | PA      | $194724.76    | 0.01%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                                                      | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    4900000 | PA      | $5452364.85   | 0.15%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411FE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27282 | PA      | $28513.41     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                                                          | United Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5087947 | PA      | $5191734.16   | 0.15%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9889 | PA      | $9866.24      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 1.00000 05/13/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23700000 | OU      | $-509280.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2005-D Trust                                             | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144660 | PA      | $134771.60    | 0.00%             | 2035-05-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EGVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77729 | PA      | $80033.41     | 0.00%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       3789 | NC      | $7347018.23   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $138312.55    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9N2A9 PIMCO SWAPTION 3.564 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-8827.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3900000 | OU      | $-34512.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 317U9N3A8 PIMCO SWAPTION 3.905 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-4356.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146238 | PA      | $148171.17    | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412QSK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15750 | PA      | $15074.48     | 0.00%             | 2035-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                         | Saudi Government International Bond                                              | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    7800000 | PA      | $7866577.45   | 0.22%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         89 | PA      | $90.35        | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406AZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        475 | PA      | $479.18       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Flex Ltd                                                                         | Flex Ltd                                                                         | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    8160000 | PA      | $8211790.79   | 0.23%             | 2029-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                          | REVERSE REPO JPM CHASE                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |  -17273500 | PA      | $-17273500.00 | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1287570.52   | 0.04%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7175520 | PA      | $5196693.84   | 0.15%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $315.87       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-366087.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                                                          | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    3100000 | PA      | $803362.34    | 0.02%             | 2018-01-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137AKPF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7124249 | PA      | $6706405.91   | 0.19%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                                  | Nissan Motor Co Ltd                                                              | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    3600000 | PA      | $3577299.62   | 0.10%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                             | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $8016850.30   | 0.23%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9GBA4 PIMCO SWAPTION 2.38 CALL EUR 2025070                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-0.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | RFR USD SOFR/1.75000 06/15/22-10Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   57000000 | OU      | $6271618.52   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | LQD US TRS EQUITY FEDL01-55 JPM                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |  129324000 | OU      | $2208000.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2006 J Trust                                             | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41488 | PA      | $36069.98     | 0.00%             | 2047-01-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.64159 04/07/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3100000 | OU      | $148231.77    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Harvest CLO                                                                      | Harvest Clo XX DAC                                                               | CUSIP: 000000000<br>LEI: 635400EXPHDZLGQCVU09 | Long             | ABS-CBDO         | CORP              | IE        |    7808791 | PA      | $9175705.35   | 0.26%             | 2031-10-20      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410RH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $290.71       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33589 | PA      | $33991.52     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                   | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12300000 | PA      | $11632060.80  | 0.33%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37413 | PA      | $38565.96     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        421 | PA      | $421.52       | 0.00%             | 2031-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |          1 | NC      | $50999.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                           | Merrill Lynch Mortgage Investors Trust Series 2006-HE4                           | CUSIP: 59023EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8223656 | PA      | $1718256.41   | 0.05%             | 2037-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2007-4                                     | CUSIP: 12668WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        547 | PA      | $22008.67     | 0.00%             | 2032-10-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |          1 | NC      | $11248.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2121518 | PA      | $2122188.72   | 0.06%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-59329.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4782039.30   | 0.13%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2171 | PA      | $2166.55      | 0.00%             | 2031-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414UZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2619 | PA      | $2745.80      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407DZ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9743 | PA      | $9856.69      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131711 | PA      | $134877.95    | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        948 | PA      | $947.16       | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-9796.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2634.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9600000 | PA      | $9346125.02   | 0.26%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-87285.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403JR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $115.25       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT SEP25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        315 | NC      | $244064.37    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KRVH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1409 | PA      | $1431.25      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17564 | PA      | $17440.24     | 0.00%             | 2030-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2005-4                                                  | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215704 | PA      | $205717.93    | 0.01%             | 2035-05-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.80662 04/02/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $30251.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2005-17                    | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33317 | PA      | $28998.37     | 0.00%             | 2035-08-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $8547.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38375UYN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3097353 | PA      | $3112968.53   | 0.09%             | 2067-01-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   14600000 | OU      | $170107.05    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2016-787S Mortgage Trust                                                    | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11600000 | PA      | $11396338.80  | 0.32%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9LHA7 PIMCO SWAPTION 3.697 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-16227.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $52528.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $4085.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 317U9N4A7 PIMCO SWAPTION 3.555 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-8308.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413TJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2102 | PA      | $2177.68      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/4.09500 02/18/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4430000 | OU      | $-153281.10   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Harvest CLO                                                                      | Harvest CLO XXV DAC                                                              | CUSIP: 000000000<br>LEI: 6354001WPDJHCROVSI55 | Long             | ABS-CBDO         | CORP              | IE        |    9060000 | PA      | $10629543.94  | 0.30%             | 2034-10-21      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40626 | PA      | $41888.85     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4028 | PA      | $4069.83      | 0.00%             | 2033-06-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.9271 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  129800000 | OU      | $-67658.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | 317U9JQA2 PIMCO SWAPTION 3.77 CALL USD 2025070                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-21866.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15131 | PA      | $15068.97     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |          1 | NC      | $-442.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-162700.42   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities, Inc.                                               | Citicorp Mortgage Securities Trust Series 2007-4                                 | CUSIP: 17312XAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     642474 | PA      | $562946.76    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416XMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22426 | PA      | $21648.42     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297HXT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191053 | PA      | $193459.93    | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A9TG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3253 | PA      | $3294.07      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                     | Centene Corp                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3484732.02   | 0.10%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2932706.35   | 0.08%             | 2030-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296NVD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1127 | PA      | $1163.05      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1900000 | PA      | $1944939.79   | 0.05%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202KZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        230 | PA      | $229.88       | 0.00%             | 2026-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $3929.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111903 | PA      | $117301.47    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312944HJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129082 | PA      | $124946.10    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2487615.03   | 0.07%             | 2054-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296TBZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        284 | PA      | $286.91       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24916787 | PA      | $24869899.84  | 0.70%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    4100000 | PA      | $4540755.89   | 0.13%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 31750QMA4 PIMCO CDSOPT PUT USD 1.0 20250716                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |   -2600000 | NC      | $-161.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31384USH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24069 | PA      | $24124.97     | 0.00%             | 2028-10-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.29         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMRF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86602 | PA      | $86794.51     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust Series 2008-R1                                          | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3764367 | PA      | $3284663.00   | 0.09%             | 2037-12-26      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-8816.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    5519000 | PA      | $5556486.10   | 0.16%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 11.5281 06/18/24-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   23900000 | OU      | $-146541.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                                                    | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4673077 | PA      | $4167172.54   | 0.12%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-419429.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                                            | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     256339 | PA      | $201387.77    | 0.01%             | 2046-12-26      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U9JSA0 PIMCO SWAPTION 4.122 PUT USD 2025071                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2700000 | NC      | $-24.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CADILLAC FAIRVIEW PRP TR                                                         | Ontario Teachers' Cadillac Fairview Properties Trust                             | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1700000 | PA      | $1680197.86   | 0.05%             | 2027-03-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                 | CUSIP: 79467BDG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   10100000 | PA      | $9017559.77   | 0.25%             | 2033-01-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD DKK                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-6207.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9MNA8 PIMCO SWAPTION 3.955 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-2713.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-46842.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5633 | PA      | $5653.12      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $-11523.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS                                                    | CREDIT OPPORTUNITIES PARTNERS                                                    | CUSIP: 000000000<br>LEI: 549300G9QPHCCGZE5W46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1516500.00   | 0.04%             | 2030-03-20      | Fixed         | 6.74%                 | No            |                  3 | On Loan: No      |
| Sequoia Mortgage Trust                                                           | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32872 | PA      | $32653.47     | 0.00%             | 2033-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H040681<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39300000 | PA      | $36529471.83  | 1.03%             | 2054-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295MZJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3508 | PA      | $3568.76      | 0.00%             | 2031-11-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   67167000 | OU      | $-1026990.15  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4973 | PA      | $5132.27      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                                | ABFC 2004-OPT5 Trust                                                             | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839602 | PA      | $842586.54    | 0.02%             | 2034-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L4R55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3719 | PA      | $3818.35      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                                    | MASTR Alternative Loan Trust 2005-1                                              | CUSIP: 576434D92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1812332 | PA      | $1880859.30   | 0.05%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403VKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $283.35       | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                                                         | United Airlines 2016-2 Class AA Pass Through Trust                               | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3118114 | PA      | $2943871.08   | 0.08%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-7626.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |          1 | NC      | $23.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241L6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6174 | PA      | $6296.81      | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122350 | PA      | $122643.77    | 0.00%             | 2037-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 7670000000 | OU      | $-845199.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    7362000 | OU      | $40814.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                                                   | REVERSE REPO DEUTSCHE                                                            | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Short            | RA               | CORP              | US        |  -39195000 | PA      | $-39195000.00 | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.65471 04/07/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $72827.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                             | Chile Government International Bonds                                             | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   12500000 | PA      | $10807625.00  | 0.30%             | 2042-03-07      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems Inc                                                           | Spirit AeroSystems Inc                                                           | CUSIP: 85205TAK6<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1572784.48   | 0.04%             | 2028-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MGQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33542 | PA      | $33959.37     | 0.00%             | 2042-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-18641.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2020908.80   | 0.06%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCAZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5014 | PA      | $5165.37      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YHH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47801 | PA      | $48710.96     | 0.00%             | 2035-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JMW45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2143 | PA      | $2190.27      | 0.00%             | 2034-11-01      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                                                            | KKR CLO 41 Ltd                                                                   | CUSIP: 48255PAA3<br>LEI: 254900VCKMCY079T6M57 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6005466.00   | 0.17%             | 2035-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-2449.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1113401 | PA      | $1117290.67   | 0.03%             | 2065-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402YJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56838 | PA      | $57041.82     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9ZZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20931 | PA      | $20819.22     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371HNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        525 | PA      | $539.46       | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                    | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $11863345.92  | 0.33%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407JHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2757 | PA      | $2833.58      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                                             | BAT International Finance PLC                                                    | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    8300000 | PA      | $8710117.11   | 0.24%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173362 | PA      | $179517.76    | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     300000 | PA      | $292007.81    | 0.01%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3261 | PA      | $3345.72      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10490383.47  | 0.29%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69915 | PA      | $72155.45     | 0.00%             | 2035-11-01      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U8CPA9 PIMCO SWAPTION 3.739 CALL USD 202508                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -32200000 | NC      | $-404160.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7156812 | PA      | $6007194.47   | 0.17%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57100000 | PA      | $55973613.42  | 1.57%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                                               | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1270000000 | PA      | $7917734.11   | 0.22%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RMG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7152540 | PA      | $7183591.49   | 0.20%             | 2065-12-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5900000 | PA      | $5979945.77   | 0.17%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5100000 | PA      | $4860140.63   | 0.14%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CA55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        245 | PA      | $244.21       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                         | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240353 | PA      | $220054.42    | 0.01%             | 2044-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $2.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                                                       | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   12954000 | PA      | $15402165.49  | 0.43%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1257271 | PA      | $850517.87    | 0.02%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38145GAN0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4904067.00   | 0.14%             | 2026-08-10      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31391LV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30889 | PA      | $31454.64     | 0.00%             | 2032-09-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC Group Inc                                                                    | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4278862.44   | 0.12%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411UWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11739 | PA      | $12231.06     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.7626* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13400000 | OU      | $-163542.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $4247.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $101.37       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                  | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3741260.84   | 0.11%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PEMEX LCDS SP DUB                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |    1835280 | OU      | $4547.11      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-182986.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371MAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31097 | PA      | $32055.13     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1529 | PA      | $1534.20      | 0.00%             | 2029-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14153 | PA      | $14635.40     | 0.00%             | 2035-02-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415VQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243354 | PA      | $255122.85    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $7920464.23   | 0.22%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7PY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3359 | PA      | $3339.70      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gemgarto                                                                         | Gemgarto 2021-1 PLC                                                              | CUSIP: 000000000<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-MBS          | CORP              | GB        |    1153338 | PA      | $1584135.96   | 0.04%             | 2067-12-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                                                           | Choice Hotels International Inc                                                  | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2359671.58   | 0.07%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404NBP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4498 | PA      | $4648.38      | 0.00%             | 2035-02-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312928T46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90819 | PA      | $92957.50     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                                         | Saudi Government International Bond                                              | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    6000000 | PA      | $6043180.56   | 0.17%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.76473 12/17/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4600000 | OU      | $122520.54    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | ZCS BRL 13.9255 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   13400000 | OU      | $-7043.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $746826.64    | 0.02%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KLJU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5579 | PA      | $5746.53      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JM7E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8504 | PA      | $8745.67      | 0.00%             | 2035-02-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2006-WMC2                                 | CUSIP: 61749KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2277410 | PA      | $2065748.19   | 0.06%             | 2036-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                                | PRPM 2023-NQM2 Trust                                                             | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4243697 | PA      | $4264227.65   | 0.12%             | 2068-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36291KBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        380 | PA      | $378.88       | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16500000 | PA      | $12157148.52  | 0.34%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 2.25000 09/17/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   36000000 | OU      | $-1392094.54  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 31392CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2925 | PA      | $2934.16      | 0.00%             | 2032-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   92700000 | PA      | $88631302.45  | 2.49%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $22104.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1037 | PA      | $1065.50      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON INTL 23                                                             | CK Hutchison International 23 Ltd                                                | CUSIP: 12570FAA9<br>LEI: 2549003AJI1YI8883K46 | Long             | DBT              | CORP              | KY        |    2700000 | PA      | $2719874.54   | 0.08%             | 2028-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7457 | PA      | $7677.70      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288H7A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        371 | PA      | $375.65       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC Series 2014-7R                                                              | CUSIP: 12648WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6651129 | PA      | $5917536.16   | 0.17%             | 2036-10-27      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43891 | PA      | $43800.71     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        881 | PA      | $916.80       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6986376 | PA      | $6980339.11   | 0.20%             | 2073-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12855345 | PA      | $11756257.35  | 0.33%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050676<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -33400000 | PA      | $-32728665.34 | -0.92%            | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-32648.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81210 | PA      | $83618.76     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KDK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10731 | PA      | $10915.96     | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1479129.39   | 0.04%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30946 | PA      | $30709.28     | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622AADC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1403784 | PA      | $1381263.80   | 0.04%             | 2048-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB Group PLC                                                                    | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    6700000 | PA      | $7088283.43   | 0.20%             | 2029-09-13      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $14845.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                                          | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    7500000 | PA      | $7689433.43   | 0.22%             | 2027-10-18      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48168704 | PA      | $47362384.48  | 1.33%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12455845.47  | 0.35%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3471226.12   | 0.10%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                                | United States Small Business Administration                                      | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     230849 | PA      | $236801.74    | 0.01%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7B88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12224 | PA      | $12546.71     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                     | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    6300000 | PA      | $6451942.83   | 0.18%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                                                | Toro European CLO 7 DAC                                                          | CUSIP: 000000000<br>LEI: 635400B4VLIGNRNR9O61 | Long             | ABS-CBDO         | CORP              | IE        |   14794000 | PA      | $17372822.84  | 0.49%             | 2034-02-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Qatar Government International Bonds                                             | Qatar Government International Bonds                                             | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    1500000 | PA      | $1413523.01   | 0.04%             | 2048-04-23      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34848 | PA      | $35588.29     | 0.00%             | 2035-09-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                                                         | Province of British Columbia Canada                                              | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    2500000 | PA      | $1893445.93   | 0.05%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                                | CPPIB Capital Inc                                                                | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |    5400000 | PA      | $4137230.77   | 0.12%             | 2034-06-02      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                                            | Pinnacle West Capital Corp                                                       | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3041997.12   | 0.09%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                                                     | Ford Credit Auto Lease Trust 2024-A                                              | CUSIP: 345290AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1409579.64   | 0.04%             | 2027-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5583.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406ABY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27972 | PA      | $28844.84     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-278898.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1546.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1383599 | PA      | $794775.37    | 0.02%             | 2036-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12821 | PA      | $12955.62     | 0.00%             | 2036-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-11901.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                | CUSIP: 313920ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5608 | PA      | $5604.95      | 0.00%             | 2031-09-18      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                    | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3076082 | PA      | $3063282.86   | 0.09%             | 2045-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | NO        |          1 | NC      | $-191.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116300000 | PA      | $91699823.93  | 2.58%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208991 | PA      | $205048.62    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410QD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3247 | PA      | $3364.36      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                        | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81189 | PA      | $79507.00     | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                                       | MMAF Equipment Finance LLC 2024-A                                                | CUSIP: 55318CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4290482 | PA      | $4302185.50   | 0.12%             | 2027-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                           | Korea Development Bank/The                                                       | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |    1700000 | PA      | $1704957.83   | 0.05%             | 2026-10-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5ZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2105 | PA      | $2170.93      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                          | Imperial Brands Finance PLC                                                      | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   12800000 | PA      | $12401598.98  | 0.35%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9900000 | PA      | $10283080.80  | 0.29%             | 2035-02-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                         | International Flavors & Fragrances Inc                                           | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    3437000 | PA      | $3037445.24   | 0.09%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402YGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4380 | PA      | $4431.98      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-3395.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | Royalty Pharma PLC                                                               | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $2980171.29   | 0.08%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-117464.23   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382Y3J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7677159 | PA      | $7713780.22   | 0.22%             | 2073-03-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | AT&T INC SNR S* ICE                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   21100000 | OU      | $340554.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   19672000 | OU      | $59808.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $65910.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | Enbridge Inc                                                                     | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2700000 | PA      | $2748004.52   | 0.08%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-14                                    | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1348959 | PA      | $1272167.82   | 0.04%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-83309.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A8WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1652 | PA      | $1644.38      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $219669.41    | 0.01%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                                                           | Home Equity Loan Trust                                                           | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3733235 | PA      | $3597334.38   | 0.10%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $8053.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SEN                                                           | Thames Water Super Senior Issuer PLC                                             | CUSIP: 000000000<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       7840 | PA      | $11794.68     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3258741.54   | 0.09%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.50000 09/20/23-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22600000 | OU      | $603548.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31390STH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61225 | PA      | $61685.35     | 0.00%             | 2042-07-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                              | Wells Fargo Bank NA                                                              | CUSIP: 94988J6B8<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3100000.00   | 0.09%             | 2025-08-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XDR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100845 | PA      | $99283.78     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-586367.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Thames SSNM                                                                      | Thames SSNM                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      15085 | PA      | $19360.51     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414AWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $2049.53      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | Credit Agricole SA                                                               | CUSIP: 22535WAM9<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    2600000 | PA      | $2614986.87   | 0.07%             | 2028-09-11      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17419 | PA      | $16713.80     | 0.00%             | 2032-03-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407JEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4334 | PA      | $4529.87      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418SSR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9317 | PA      | $9433.09      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 23 SECURE FUND                                                         | Consumers 2023 Securitization Funding LLC                                        | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7903530.17   | 0.22%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349UEJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11135 | PA      | $11495.59     | 0.00%             | 2034-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $317145.46    | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Empire State Development Corp                                                    | NEW YORK ST URBAN DEV CORP REVENUE                                               | CUSIP: 650036AU0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    8100000 | PA      | $7937357.67   | 0.22%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                         | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123483 | PA      | $116693.62    | 0.00%             | 2044-07-19      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U88VA1 PIMCO SWAPTION 3.65 CALL USD 2025080                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  414000000 | NC      | $259300.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15967 | PA      | $16440.83     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11509 | PA      | $11448.74     | 0.00%             | 2030-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926537 | PA      | $927784.72    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $32601.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $6605.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.50000 09/18/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21100000 | OU      | $533805.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | Societe Generale SA                                                              | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    5000000 | PA      | $5045050.45   | 0.14%             | 2027-01-12      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS NZD 3.75000 06/15/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   41800000 | OU      | $269763.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-8206.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3551 | PA      | $3689.11      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3963.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8Y24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21869 | PA      | $22383.15     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412RBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119790 | PA      | $122756.56    | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21300000 | PA      | $9386567.50   | 0.26%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS NZD 4.25000 12/21/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2900000 | OU      | $41924.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617LC4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1660617 | PA      | $1472508.77   | 0.04%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                                  | Venture XXVII CLO Ltd                                                            | CUSIP: 92331LBC3<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |    3192147 | PA      | $3192251.99   | 0.09%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                            | CUSIP: 760759BB5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3880850.55   | 0.11%             | 2029-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDM9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5900000 | PA      | $6077116.58   | 0.17%             | 2029-07-09      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS EUR 0.65000 04/12/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27000000 | OU      | $-749426.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $3312980.62   | 0.09%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417VY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3620 | PA      | $3611.13      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5435306 | PA      | $5416307.91   | 0.15%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31401V5J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2778 | PA      | $2840.58      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                                                  | Citizens Auto Receivables Trust 2023-1                                           | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4310182 | PA      | $4337773.85   | 0.12%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18578 | PA      | $19162.86     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $12620.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $2055122.62   | 0.06%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -50 | NC      | $-26562.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39449 | PA      | $39496.07     | 0.00%             | 2042-08-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U8D3A1 PIMCO SWAPTION 3.7565 CALL USD 20250                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -6000000 | NC      | $-81166.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XFE1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    5740000 | PA      | $5783516.95   | 0.16%             | 2028-04-04      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $466749.55    | 0.01%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9L6A9 PIMCO SWAPTION 3.664 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | KY        |   -2500000 | NC      | $-11906.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11149 | PA      | $11497.36     | 0.00%             | 2035-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                                                    | JDE Peet's NV                                                                    | CUSIP: 000000000<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    2200000 | PA      | $2711202.50   | 0.08%             | 2034-01-23      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                                          | Columbia Pipelines Operating Co LLC                                              | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3166889.85   | 0.09%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                                         | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    6700000 | PA      | $6766979.90   | 0.19%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CN        |          1 | NC      | $24979.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                 | CUSIP: 06368D8Z0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    8950000 | PA      | $9129331.24   | 0.26%             | 2028-06-28      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     500000 | OU      | $7414.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4118 | PA      | $4245.88      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34100000 | PA      | $16812898.61  | 0.47%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2517457.53   | 0.07%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1389.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    7500000 | PA      | $7943256.75   | 0.22%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    9600000 | PA      | $8709247.78   | 0.24%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6780257.02   | 0.19%             | 2028-07-14      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17598 | PA      | $18069.38     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NatWest Group PLC                                                                | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    7800000 | PA      | $8099886.60   | 0.23%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297D6G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9216 | PA      | $9290.41      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $4098.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL ENERG                                                         | Abu Dhabi National Energy Co PJSC                                                | CUSIP: 00388WAQ4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    7000000 | PA      | $6888952.00   | 0.19%             | 2031-10-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3925.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  147100000 | PA      | $136745576.57 | 3.84%             | 2054-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | Credit Agricole SA                                                               | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $3923710.56   | 0.11%             | 2027-01-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1243814.87   | 0.03%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $5349.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2729.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BOBL FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -2 | NC      | $1258.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115924 | PA      | $121528.75    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A7VK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3364 | PA      | $3342.31      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $17167.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115634 | PA      | $113981.65    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $8552.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                        | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   16400000 | PA      | $12671386.08  | 0.36%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 780082AQ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1300000 | PA      | $1314228.79   | 0.04%             | 2026-12-14      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5VU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        424 | PA      | $437.54       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EK2C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.92         | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                                                          | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    1700000 | PA      | $440553.54    | 0.01%             | 2017-05-08      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | 317U9FUA5 PIMCO SWAPTION 3.7 CALL USD 20250630                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2600000 | NC      | $-2561.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | 317U9N1A0 PIMCO SWAPTION 3.914 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-4060.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                                | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12100000 | PA      | $11566964.75  | 0.33%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | COLOMBIA LA SP CBK                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    1700000 | OU      | $-1245.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2017-GPTX                                      | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7552013 | PA      | $6577865.23   | 0.18%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                                                             | 225 Liberty Street Trust 2016-225L                                               | CUSIP: 902055AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11600000 | PA      | $11066812.96  | 0.31%             | 2036-02-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3075.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                                                        | Park Place Securities Inc Series 2005-WCW1                                       | CUSIP: 70069FKG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3015332 | PA      | $2955628.37   | 0.08%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   12500000 | PA      | $12160575.75  | 0.34%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406XDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.04        | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CEE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1254 | PA      | $1252.92      | 0.00%             | 2027-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSYM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357055 | PA      | $357536.10    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                                          | REVERSE REPO JPM CHASE                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Short            | RA               | CORP              | US        |  -31903875 | PA      | $-31903875.00 | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                   | Adjustable Rate Mortgage Trust 2005-8                                            | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106632 | PA      | $74809.82     | 0.00%             | 2035-11-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                                               | Ready Capital Mortgage Financing 2023-FL11 LLC                                   | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     461632 | PA      | $461692.51    | 0.01%             | 2039-10-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376KTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1768 | PA      | $1848.18      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2804362 | PA      | $2033615.97   | 0.06%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CMM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1589 | PA      | $1593.40      | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1528 | PA      | $1525.74      | 0.00%             | 2030-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                     | ING Groep NV                                                                     | CUSIP: 45685NAA4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    6800000 | PA      | $6801795.13   | 0.19%             | 2026-01-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      30410 | PA      | $29694.61     | 0.00%             | 2035-09-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                         | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     326839 | PA      | $186921.86    | 0.01%             | 2035-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                              | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12550000 | PA      | $11828856.92  | 0.33%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3308881 | PA      | $3166427.23   | 0.09%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76885 | PA      | $78968.41     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7400000 | PA      | $7498804.87   | 0.21%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417KN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38502 | PA      | $37507.75     | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410F2H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $256.40       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $15227.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust 2006-AR4                                        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2691518 | PA      | $2436627.68   | 0.07%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                                 | Essent Group Ltd                                                                 | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |    2900000 | PA      | $3003474.58   | 0.08%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $37510.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BOBL OPTION  AUG25C 118.5 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -19 | NC      | $-2461.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5482 | PA      | $5583.65      | 0.00%             | 2034-12-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11300000 | PA      | $10319195.26  | 0.29%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   83700000 | PA      | $64511121.30  | 1.81%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8031 | PA      | $8004.34      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                                                       | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13200000 | PA      | $11746495.20  | 0.33%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128QLPS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30328 | PA      | $31087.38     | 0.00%             | 2035-09-01      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $3322.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3387196 | PA      | $3445353.01   | 0.10%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292JBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4517 | PA      | $4510.63      | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405DH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3996 | PA      | $3997.48      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                                                           | Nykredit Realkredit AS                                                           | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.24         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                                                           | Fresenius Medical Care US Finance III Inc                                        | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |   12100000 | PA      | $11632693.89  | 0.33%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        495 | PA      | $495.66       | 0.00%             | 2027-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                                                         | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                 | CUSIP: 75973PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |   13100000 | PA      | $12428964.68  | 0.35%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | RFR USD SOFR/3.69392 09/03/24-7Y* CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   27750000 | OU      | $-318957.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2006-A1                                      | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674835 | PA      | $560736.80    | 0.02%             | 2036-09-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN THREE                                                             | Goodman US Finance Three LLC                                                     | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |   10800000 | PA      | $10586126.30  | 0.30%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                                             | Volkswagen Bank GmbH                                                             | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |    2000000 | PA      | $2353773.19   | 0.07%             | 2026-07-31      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                                                      | COLOMBIA LA SP CBK                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     400000 | OU      | $-1247.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | COLOMBIA LA SP BRC                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | GB        |    2400000 | OU      | $-1758.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-364.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9900000 | PA      | $7355777.32   | 0.21%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13920000 | OU      | $-114269.19   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38382YNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3870229 | PA      | $3813835.81   | 0.11%             | 2072-01-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CU38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3101 | PA      | $3100.43      | 0.00%             | 2032-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3000000 | PA      | $2997122.10   | 0.08%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JPME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3588006 | PA      | $3525069.41   | 0.10%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042475<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $99354.57     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4900000 | PA      | $5008739.13   | 0.14%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   12400000 | PA      | $12027939.49  | 0.34%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NatWest Markets PLC                                                              | CUSIP: 63906YAP3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    5500000 | PA      | $5586783.57   | 0.16%             | 2030-03-21      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38376RZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2137965 | PA      | $2144667.81   | 0.06%             | 2066-09-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                              | CitiMortgage Alternative Loan Trust Series 2006-A5                               | CUSIP: 18974BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3178296 | PA      | $2448271.12   | 0.07%             | 2036-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GPF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52078 | PA      | $53747.77     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181937 | PA      | $176812.81    | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297USC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7521 | PA      | $7743.52      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412PPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18550 | PA      | $18507.51     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                                            | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246224 | PA      | $172884.31    | 0.00%             | 2036-01-26      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -12 | NC      | $-4806.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9084366.99   | 0.26%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31349ULB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9148 | PA      | $9457.89      | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19092810 | PA      | $17304007.11  | 0.49%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2995 | PA      | $3074.19      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748CB6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     800000 | PA      | $812347.76    | 0.02%             | 2031-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | 31750R5N3 PIMCO FXVAN PUT EUR USD 1.11000000                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    3449000 | OU      | $10709.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                         | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3399968 | PA      | $3333488.34   | 0.09%             | 2057-06-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       3045 | NC      | $3454664.17   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3617YD2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5421733 | PA      | $5080526.58   | 0.14%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        793 | PA      | $813.78       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBQ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    2900000 | PA      | $2919896.81   | 0.08%             | 2027-07-02      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                                                            | American Airlines 2014-1 Class A Pass Through Trust                              | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2164896 | PA      | $2126030.55   | 0.06%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18878 | PA      | $18916.90     | 0.00%             | 2044-10-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15100000 | PA      | $15043375.00  | 0.42%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68447 | PA      | $70414.45     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSSK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2874215 | PA      | $2880042.39   | 0.08%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4700000 | PA      | $4777203.70   | 0.13%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8111027.09   | 0.23%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19600000 | PA      | $19079375.00  | 0.54%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                         | F&G Annuities & Life Inc                                                         | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4227420.70   | 0.12%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-894.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406VHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10162 | PA      | $10492.92     | 0.00%             | 2035-05-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                                                          | Air Canada 2017-1 Class AA Pass Through Trust                                    | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     867360 | PA      | $811163.22    | 0.02%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GVX9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7623961.13   | 0.21%             | 2027-10-28      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14162 | PA      | $14114.93     | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   10900000 | PA      | $10795756.87  | 0.30%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-381168.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                                        | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBL4<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    9800000 | PA      | $9815121.40   | 0.28%             | 2034-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        497 | PA      | $493.21       | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54600000 | PA      | $34784038.93  | 0.98%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A9VC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4183 | PA      | $4115.45      | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        179 | PA      | $185.26       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Trust 2022-GR2                                     | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12351778 | PA      | $10521071.57  | 0.30%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2198365 | PA      | $2275089.66   | 0.06%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | Credit Agricole SA                                                               | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    4100000 | PA      | $4309145.26   | 0.12%             | 2029-10-03      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7300000 | OU      | $-101517.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | Equinix Inc                                                                      | CUSIP: 29444UBK1<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |    2900000 | PA      | $2877026.03   | 0.08%             | 2025-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542844 | PA      | $556278.74    | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                                                      | Towd Point Mortgage Funding 2024 - Granite 6 PLC                                 | CUSIP: 000000000<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    5948859 | PA      | $8179418.09   | 0.23%             | 2053-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7500000 | PA      | $8024713.80   | 0.23%             | 2034-03-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ADYF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40036 | PA      | $39370.07     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-11025.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $79521.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                         | RASC Series 2003-KS4 Trust                                                       | CUSIP: 76110WRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426944 | PA      | $405355.65    | 0.01%             | 2033-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-516.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust Series 2006-9                     | CUSIP: 86361PAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5041851 | PA      | $2124277.57   | 0.06%             | 2036-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $3473738.25   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                         | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21764 | PA      | $21027.84     | 0.00%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10900000 | OU      | $-530913.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M55N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10265 | PA      | $10569.53     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $13487.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1961521 | PA      | $1701699.67   | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NLQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     784758 | PA      | $773153.10    | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-OC5                                                  | CUSIP: 02147HAF9<br>LEI: 549300WJBLP6N8ETXD40 | Long             | ABS-MBS          | CORP              | US        |    3673550 | PA      | $3191734.66   | 0.09%             | 2046-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-157194.97   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DUJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292624 | PA      | $263569.24    | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28997 | PA      | $29794.81     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                            | Brazil Government International Bonds                                            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7800000 | PA      | $7718570.11   | 0.22%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13425 | PA      | $13580.79     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $11287.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                       | Morgan Stanley ABS Capital I Inc Trust 2006-NC4                                  | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     137937 | PA      | $119127.01    | 0.00%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $10982.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $5616.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13539 | PA      | $13896.00     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2022-B32 Mortgage Trust                                                | CUSIP: 08163NBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12646000 | PA      | $11948418.82  | 0.34%             | 2055-01-15      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | SOUTH AFRICA EM SP MYC                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   31300000 | OU      | $112377.52    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | CDX IG44 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2700000 | OU      | $59691.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H050680<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37100000 | PA      | $36421720.36  | 1.02%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $134243.20    | 0.00%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419EZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14948 | PA      | $14851.28     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $408.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297VZW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16841 | PA      | $17160.21     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -752 | NC      | $-1667898.30  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9J78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     664299 | PA      | $682102.64    | 0.02%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    9300000 | PA      | $10555034.07  | 0.30%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-49092.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                                                             | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1216270 | PA      | $1217067.15   | 0.03%             | 2030-10-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                                            | Pinnacle West Capital Corp                                                       | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1023678.52   | 0.03%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MEXICAN UDIBONOS                                                                 | Mexican Udibonos                                                                 | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8500847 | PA      | $420686.48    | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8786 | PA      | $9057.50      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                         | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668AT9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   10900000 | PA      | $10890456.51  | 0.31%             | 2025-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust 2007-FM1                                                             | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2128920 | PA      | $1048075.19   | 0.03%             | 2036-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QR4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260210 | PA      | $249727.66    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                                   | Securitized Asset Backed Receivables LLC Trust 2006-FR3                          | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5991869 | PA      | $3068241.86   | 0.09%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405RDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102354 | PA      | $104646.56    | 0.00%             | 2034-09-01      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | Kilroy Realty LP                                                                 | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |   13100000 | PA      | $10291089.75  | 0.29%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance                                     | Specialty Underwriting & Residential Finance Trust Series 2007-BC2               | CUSIP: 84752EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2254878 | PA      | $1653588.65   | 0.05%             | 2037-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414SXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        978 | PA      | $999.61       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GN1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4432863.60   | 0.12%             | 2028-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACK1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5001494.75   | 0.14%             | 2025-07-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   12600000 | PA      | $10939038.01  | 0.31%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                                                           | Daimler Truck Finance North America LLC                                          | CUSIP: 233853AV2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3230781.09   | 0.09%             | 2027-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust 2005-HE1                                                             | CUSIP: 36242DRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3389558 | PA      | $2966425.64   | 0.08%             | 2034-12-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                                                    | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14449076 | PA      | $11721364.93  | 0.33%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-166578.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-4291.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-600.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-43300.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31391XDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176735 | PA      | $177807.80    | 0.00%             | 2041-09-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2200000 | PA      | $2284201.85   | 0.06%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | 317U9EGA4 PIMCO SWAPTION 4.135 PUT USD 2025063                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -3700000 | NC      | $-0.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6WG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1910996 | PA      | $1962214.92   | 0.06%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2132921.87   | 0.06%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2016-GS4                                            | CUSIP: 36251XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417919 | PA      | $415190.29    | 0.01%             | 2049-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                                               | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  923600000 | PA      | $6455419.16   | 0.18%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5057872.20   | 0.14%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24650 | PA      | $24573.27     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36225CUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        245 | PA      | $247.83       | 0.00%             | 2032-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $68469.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9LGA8 PIMCO SWAPTION 4.097 PUT USD 2025071                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -2500000 | NC      | $-250.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296XX41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5158 | PA      | $5222.38      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust 2007-1                                            | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3659910 | PA      | $2345452.12   | 0.07%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                     | RBSSP Resecuritization Trust 2011-4                                              | CUSIP: 74930PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1861349 | PA      | $1847843.91   | 0.05%             | 2036-06-27      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DSK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35571 | PA      | $37288.20     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                                                   | REVERSE REPO DEUTSCHE                                                            | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Short            | RA               | CORP              | US        |   -8569500 | PA      | $-8569500.00  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2088446 | PA      | $2133421.63   | 0.06%             | 2041-02-20      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16522 | PA      | $16390.46     | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31388FNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29891 | PA      | $29880.64     | 0.00%             | 2041-08-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417ACL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9089 | PA      | $9005.74      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385W2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1708 | PA      | $1775.79      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | Hyundai Capital America                                                          | CUSIP: 44891ACB1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5936484.83   | 0.17%             | 2026-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $10034976.53  | 0.28%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                              | 317U9L5A0 PIMCO SWAPTION 4.064 PUT USD 2025071                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | KY        |   -2500000 | NC      | $-244.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EGSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920347 | PA      | $943121.69    | 0.03%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-263537.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                   | Long Beach Mortgage Loan Trust 2005-3                                            | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     385561 | PA      | $378933.30    | 0.01%             | 2045-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226273 | PA      | $233525.84    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $2191.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406QVM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1568 | PA      | $1616.92      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $282655.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6297090.20   | 0.18%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LCUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3354 | PA      | $3440.69      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | IRS AUD 4.50000 03/20/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11800000 | OU      | $307090.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |          1 | NC      | $2249758.11   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TH        |          1 | NC      | $3573.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CCNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     713610 | PA      | $704336.90    | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2677427 | PA      | $2724014.19   | 0.08%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4000000 | PA      | $4024007.68   | 0.11%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                                                           | Nykredit Realkredit AS                                                           | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.24         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | OIS CAD CAONREPO/2.74040 03/10/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2800000 | OU      | $25930.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133C5ZJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489072 | PA      | $480517.13    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                                                         | Piedmont Operating Partnership LP                                                | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              |  | US        |   12900000 | PA      | $11573412.89  | 0.33%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-37949.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-26

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer